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

MaRDI QIDQ2935591zbMATHFDO

Authors Hiroki Kondo, Shingo Saito

Publication date 30 December 2014

zbMATH Keywords

Bayesian inferencemodel riskparameter riskloss ratio

Mathematics Subject Classification ID

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

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(12)

• Assessing Bayesian Semi‐Parametric Log‐Linear Models: An Application to Disclosure Risk Estimation
• Applicability of Bayesian methods for loss ratio estimation
• Three-step risk inference in insurance ratemaking
• A Bayesian approach to incorporate model ambiguity in a dynamic risk measure
• scientific article; zbMATH DE number 2187938 (Why is no real title available?)
• Bayesian total loss estimation using shared random effects
• Modelling parameter uncertainty for risk capital calculation
• An efficient algorithm to measure the insurance risk of casuality insurance company using VaR methodology
• Risk margin quantile function via parametric and non-parametric Bayesian approaches
• Efficient option risk measurement with reduced model risk
• Using model averaging to determine suitable risk measure estimates
• The Automated Bias-Corrected and Accelerated Bootstrap Confidence Intervals for Risk Measures

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