Portfolio Strategies and Estimation in a Hidden Markov Model Using State Dependent, State Independent or No Correlation

2016 ◽  
Author(s):  
Christina Erlwein-Sayer ◽  
Stefanie Grimm ◽  
JJrn Sass ◽  
Tilman Sayer
Keyword(s):  
Markov Model ◽  
Hidden Markov Model ◽  
Hidden Markov ◽  
Portfolio Strategies ◽  
State Dependent ◽  
Dependent State

AGGREGATE CLAIM ESTIMATION USING BIVARIATE HIDDEN MARKOV MODEL

2018 ◽  
Vol 49 (1) ◽  
pp. 189-215
Author(s):  
Zarina Nukeshtayeva Oflaz ◽  
Ceylan Yozgatligil ◽  
A. Sevtap Selcuk-Kestel
Keyword(s):  
Markov Model ◽  
Hidden Markov Model ◽  
Negative Binomial ◽  
Hidden Markov ◽  
Expectation Maximization Algorithm ◽  
Third Party ◽  
Aggregate Claim ◽  
State Dependent ◽  
Dependent Part ◽  
Finite State

AbstractIn this paper, we propose an approach for modeling claim dependence, with the assumption that the claim numbers and the aggregate claim amounts are mutually and serially dependent through an underlying hidden state and can be characterized by a hidden finite state Markov chain using bivariate Hidden Markov Model (BHMM). We construct three different BHMMs, namely Poisson–Normal HMM, Poisson–Gamma HMM, and Negative Binomial–Gamma HMM, stemming from the most commonly used distributions in insurance studies. Expectation Maximization algorithm is implemented and for the maximization of the state-dependent part of log-likelihood of BHMMs, the estimates are derived analytically. To illustrate the proposed model, motor third-party liability claims in Istanbul, Turkey, are employed in the frame of Poisson–Normal HMM under a different number of states. In addition, we derive the forecast distribution, calculate state predictions, and determine the most likely sequence of states. The results indicate that the dependence under indirect factors can be captured in terms of different states, namely low, medium, and high states.

scholarly journals State-dependent time warping in the trended hidden Markov model

1994 ◽  
Vol 39 (3) ◽  
pp. 263-275 ◽  
Author(s):  
D.X. Sun ◽  
L. Deng ◽  
C.F.J. Wu
Keyword(s):  
Markov Model ◽  
Hidden Markov Model ◽  
Hidden Markov ◽  
Time Warping ◽  
State Dependent

Auscultating Diagnosis for Hemodialysis Shunt Stenosis using a Self-Organizing Map and Hidden Markov Model

2012 ◽  
Vol 132 (10) ◽  
pp. 1589-1594 ◽  
Author(s):  
Hayato Waki ◽  
Yutaka Suzuki ◽  
Osamu Sakata ◽  
Mizuya Fukasawa ◽  
Hatsuhiro Kato
Keyword(s):  
Markov Model ◽  
Hidden Markov Model ◽  
Hidden Markov ◽  
Self Organizing Map ◽  
Self Organizing

Engaging Voluntary Contributions in Online Communities: A Hidden Markov Model

MIS Quarterly ◽  
2018 ◽  
Vol 42 (1) ◽  
pp. 83-100 ◽  
Author(s):  
Wei Chen ◽  
◽  
Xiahua Wei ◽  
Kevin Xiaoguo Zhu ◽  
◽  
...  
Keyword(s):  
Markov Model ◽  
Hidden Markov Model ◽  
Online Communities ◽  
Hidden Markov ◽  
Voluntary Contributions
Sign in / Sign up

Export Citation Format

Share Document