Modelling parameter uncertainty for risk capital calculation

DOI10.1007/S13385-015-0109-4zbMath1329.91061OpenAlexW2189037901MaRDI QIDQ2356238

Andreas Fröhlich, Annegret Weng

Publication date: 29 July 2015

Published in: European Actuarial Journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s13385-015-0109-4

zbMATH Keywords

internal modelparameter uncertaintypredictive inferencebootstrappingSolvency IIsolvency capital requirement

Mathematics Subject Classification ID

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

Related Items (2)

Parameter uncertainty and reserve risk under Solvency II ⋮ Gibbs posterior inference on value-at-risk

Cites Work

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• How Superadditive Can a Risk Measure Be?
• Essentials of Statistical Inference

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