Bayesian approach to measuring parameter and model risk in loss ratio estimation

zbMATH Open1302.62224MaRDI QIDQ2935591FDOQ2935591

Authors: Hiroki Kondo, Shingo Saito 

Publication date: 30 December 2014

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zbMATH Keywords

Bayesian inferencemodel riskparameter riskloss ratio

Mathematics Subject Classification ID

Bayesian inference (62F15) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Cited In (12)

• Applicability of Bayesian methods for loss ratio estimation
• Title not available (Why is that?)
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• Bayesian total loss estimation using shared random effects
• Assessing Bayesian Semi‐Parametric Log‐Linear Models: An Application to Disclosure Risk Estimation
• The Automated Bias-Corrected and Accelerated Bootstrap Confidence Intervals for Risk Measures
• A Bayesian approach to incorporate model ambiguity in a dynamic risk measure
• Using model averaging to determine suitable risk measure estimates
• Modelling parameter uncertainty for risk capital calculation
• Efficient option risk measurement with reduced model risk

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