Model tracking for risk problems

DOI10.1155/S0161171202008013MaRDI QIDQ1607879zbMATH OpenOpenAlexFDO

Authors Lakhdar Aggoun, Lakdere Benkherouf

Publication date 13 August 2002

Published in International Journal of Mathematics and Mathematical Sciences (Search for Journal in Brave)

Full work available at URL https://eudml.org/doc/49354, http://www.hindawi.com/journals/ijmms/volume-29/S0161171202008013.html

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05)

Review text

Summary: We assume that we have \(M\) candidate insurance models for describing a process. The models considered consist of a risk process driven by right-constant, finite-state spaces, jump processes. Based on observing the history of the risk process, we propose dynamics whose solutions indicate the likelihoods of each candidate model.

Recommendations

• MEASURING MODEL RISK IN FINANCIAL RISK MANAGEMENT AND PRICING
• Risk measuring under model uncertainty
• Optimal Tracking for an Insurance Model
• Modeling, measuring and managing risk
• Robust risk measurement and model risk
• On the model risk
• Risk modeling and simulations

Cited in

(2)

• ROBUST FILTERING AND DETECTION OF AN INSURANCE MODEL
• Optimal Tracking for an Insurance Model

This page was built for publication: Model tracking for risk problems

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1607879)