Model Selection and Averaging in Financial Risk Management
From MaRDI portal
Publication:5742646
DOI10.1080/10920277.2013.824374zbMath1412.91044OpenAlexW2018941024MaRDI QIDQ5742646
Chris Groendyke, Brian M. Hartman
Publication date: 15 May 2019
Published in: North American Actuarial Journal (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/10920277.2013.824374
Related Items
MODEL SELECTION AND AVERAGING OF HEALTH COSTS IN EPISODE TREATMENT GROUPS, Ensemble Economic Scenario Generators: Unity Makes Strength, Pricing Surrender Risk in Ratchet Equity-Index Annuities under Regime-Switching Lévy Processes, ECONOMIC SCENARIO GENERATOR AND PARAMETER UNCERTAINTY: A BAYESIAN APPROACH, Bayesian multivariate regime-switching models and the impact of correlation structure misspecification in variable annuity pricing, Valuation of large variable annuity portfolios under nested simulation: a functional data approach
Uses Software
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Reversible jump Markov chain Monte Carlo computation and Bayesian model determination
- A sticky HDP-HMM with application to speaker diarization
- Accounting for regime and parameter uncertainty in regime-switching models
- Bayesian analysis of stochastic volatility models with fat-tails and correlated errors
- Bayesian model choice based on Monte Carlo estimates of posterior model probabilities
- Estimating the dimension of a model
- Generalized autoregressive conditional heteroscedasticity
- Multi-regime nonlinear capital asset pricing models
- Particle filters and Bayesian inference in financial econometrics
- Model Uncertainty in Claims Reserving within Tweedie's Compound Poisson Models
- Hierarchical Dirichlet Processes
- Sampling-Based Approaches to Calculating Marginal Densities
- Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models
- Model Selection and Multimodel Inference
- Bayesian Measures of Model Complexity and Fit
- Bayesian Inference in Hidden Markov Models Through the Reversible Jump Markov Chain Monte Carlo Method
- Equation of State Calculations by Fast Computing Machines
- Monte Carlo sampling methods using Markov chains and their applications
- A Regime-Switching Model of Long-Term Stock Returns
- Hidden Markov Models for Time Series
- A new look at the statistical model identification