A discussion of parameter and model uncertainty in insurance

From MaRDI portal
Publication:5938033

DOI10.1016/S0167-6687(00)00055-XzbMath0971.62063OpenAlexW2017071447MaRDI QIDQ5938033

Andrew J. G. Cairns

Publication date: 4 October 2001

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0167-6687(00)00055-x




Related Items (44)

A stochastic differential game for optimal investment of an insurer with regime switchingLarge deviations for risk measures in finite mixture modelsRobust optimal investment and reinsurance of an insurer under variance premium principle and default riskTAMING UNCERTAINTY: THE LIMITS TO QUANTIFICATIONMODELLING MORTALITY FOR PENSION SCHEMESOn semiparametric estimation of ruin probabilities in the classical risk modelWanting robustness in insurance: a model of catastrophe risk pricing and its empirical testNonparametric estimation of the finite-time survival probability with zero initial capital in the classical risk modelBayesian model choice of grouped \(t\)-copulaEnsemble Economic Scenario Generators: Unity Makes StrengthStochastic differential portfolio games for an insurer in a jump-diffusion risk processOptimal reinsurance and dividend under model uncertaintyWorst-case moments under partial ambiguityBayesian Assessment of the Distribution of Insurance Claim Counts Using Reversible Jump MCMCUnnamed ItemA stochastic model for mortality rate on italian dataRobust portfolio decisions for financial institutionsECONOMIC SCENARIO GENERATOR AND PARAMETER UNCERTAINTY: A BAYESIAN APPROACHOptimal investment and reinsurance of an insurer with model uncertaintyOn stochastic mortality modelingOn the optimal product mix in life insurance companies using conditional value at riskLongevity risk and the Grim Reaper's toxic tail: The survivor fan chartsBayesian estimation of finite time ruin probabilitiesModelling longevity bonds: analysing the Swiss Re Kortis bondA decomposition of general premium principles into risk and deviationRegression Models for Bivariate Loss DataPrediction of Stock Returns: A New Way to Look at ItSurvival models in a dynamic context: a surveyA FAMILY OF TERM‐STRUCTURE MODELS FOR LONG‐TERM RISK MANAGEMENT AND DERIVATIVE PRICINGPensionmetrics: Stochastic pension plan design and value-at-risk during the accumulation phaseTopical modelling issues in Solvency IIBAYESIAN ESTIMATION OF RUIN PROBABILITIES WITH A HETEROGENEOUS AND HEAVY‐TAILED INSURANCE CLAIM‐SIZE DISTRIBUTIONOptimal investment, consumption and proportional reinsurance under model uncertaintyHeterogeneity and uncertainty in a multistate frameworkBAYESIAN ANALYSIS OF AGGREGATE LOSS MODELSHedging Annuity Risks with the Age-Period-Cohort Two-Population Gravity ModelForward Mortality Rates in Discrete Time I: Calibration and Securities PricingRobust optimal investment and reinsurance of an insurer under jump-diffusion modelsMortality modeling using probability distributions. APPLICATION in greek mortality dataFunctional sensitivity analysis of ruin probability in the classical risk modelsON COMPLEX ECONOMIC SCENARIO GENERATORS: IS LESS MORE?Using bootstrapping to incorporate model error for risk-neutral pricing of longevity riskA Quantitative Comparison of Stochastic Mortality Models Using Data From England and Wales and the United StatesUncertainty and inside information



Cites Work


This page was built for publication: A discussion of parameter and model uncertainty in insurance