An efficient algorithm for pricing reinsurance contract under the regime-switching model.
Manijeh AbbaspourKianoush Fathi VajargahParvin AzhdariPublished in: Math. Comput. Simul. (2023)
Keyphrases
- probabilistic model
- cost function
- theoretical analysis
- algorithm employs
- mathematical model
- objective function
- recognition algorithm
- algorithm has been developed
- selection algorithm
- computational model
- computationally efficient
- learning algorithm
- final result
- dynamic programming
- np hard
- input data
- data structure
- estimation algorithm
- detection algorithm
- computational complexity
- classification algorithm
- neural network
- filtering algorithm
- artificial neural networks
- optimization method
- expectation maximization
- tree structure
- parameter estimation
- simulated annealing
- prior information
- bayesian framework
- segmentation algorithm
- optimal solution
- em algorithm