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Esscher Approximations for Maximum Likelihood Estimates - Exploratory Ideas
Esscher Approximations for Maximum Likelihood Estimates - Exploratory Ideas The series expansion of a probability density function, known to actuaries by Esscher's name and to statisticians ...- Authors: James Bridgeman
- Date: Aug 2011
- Competency: Technical Skills & Analytical Problem Solving>Process and technique refinement
- Topics: Modeling & Statistical Methods>Dynamic simulation models; Modeling & Statistical Methods>Stochastic models
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Moments of a Regime-Switching Stochastic Interest Rate Model With Randomized Regimes
Moments of a Regime-Switching Stochastic Interest Rate Model With Randomized Regimes Prior work indicates that a regime-switching stochastic model with randomized regime parameters creates a more ...- Authors: James Bridgeman
- Date: Dec 2007
- Competency: Technical Skills & Analytical Problem Solving
- Topics: Modeling & Statistical Methods>Stochastic models