Economic scenario generator and parameter uncertainty: a Bayesian approach
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Cites work
- A dictionary of statistics
- A discussion of parameter and model uncertainty in insurance
- A Tale of Two Time Scales
- Accounting for regime and parameter uncertainty in regime-switching models
- Bayesian nonparametric predictive modeling of group health claims
- Equation of state calculations by fast computing machines
- Inference from iterative simulation using multiple sequences
- Model Selection and Averaging in Financial Risk Management
- Monte Carlo sampling methods using Markov chains and their applications
- On life insurance reserves in a stochastic mortality and interest rates environment
- Some Applications of Lévy Processes to Stochastic Investment Models for Actuarial Use
- Some Nonlinear Threshold Autoregressive Time Series Models for Actuarial Use
- Stochastic analysis of life insurance surplus
- Updating Wilkie's economic scenario generator for U.S. applications
Cited in
(5)- Economic scenario generators: a risk management tool for insurance
- Updating Wilkie's economic scenario generator for U.S. applications
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- Data-rich economic forecasting for actuarial applications
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