5th Brazilian Conference on Statistical Modelling in Insurance and Finance - Maresias, Brazil
Co-organizer and invited speaker at this intern ational conference.
Applications of Markov-additive Processes in Finance and Insurance
The Markov-additive process family represents a natural theoretical framework to study the so-called regime-switching models. Models with regime-switching features find applications in finance and insurance insofar as they provide a mathematical description for a price process that evolves against a macro-economic canvas determining parameters changing over regimes. Stock or insurance dynamics can be described that take into account the backdrop economical scenario (crisis vs
