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

MaRDI QIDQ2935591zbMATH OpenFDO

Authors Hiroki Kondo, Shingo Saito

Publication date 30 December 2014

zbMATH Keywords

Bayesian inferenceloss ratiomodel riskparameter risk

Mathematics Subject Classification ID

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

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(14)

• Three-step risk inference in insurance ratemaking
• Bayesian total loss estimation using shared random effects
• Modelling parameter uncertainty for risk capital calculation
• Applicability of Bayesian methods for loss ratio estimation
• A Bayesian approach to incorporate model ambiguity in a dynamic risk measure
• Risk margin quantile function via parametric and non-parametric Bayesian approaches
• Using model averaging to determine suitable risk measure estimates
• Efficient option risk measurement with reduced model risk
• Gibbs posterior inference on value-at-risk
• An efficient algorithm to measure the insurance risk of casuality insurance company using VaR methodology
• scientific article; zbMATH DE number 2187938 (Why is no real title available?)
• Robust Actuarial Risk Analysis
• 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

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