Using model averaging to determine suitable risk measure estimates
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Cites work
- A new look at the statistical model identification
- An actuarial model based on the composite Weibull-Pareto distribution
- Bayesian model averaging: A tutorial. (with comments and a rejoinder).
- Bayesian model selection and model averaging
- Composite lognormal-Pareto model with random threshold
- Compound unimodal distributions for insurance losses
- Estimating the dimension of a model
- Extending composite loss models using a general framework of advanced computational tools
- Fitting mixtures of Erlangs to censored and truncated data using the EM algorithm
- Heuristics of instability and stabilization in model selection
- scientific article; zbMATH DE number 1873780 (Why is no real title available?)
- Loss models. From data to decisions
- Model Selection and Accounting for Model Uncertainty in Graphical Models Using Occam's Window
- Model Selection: An Integral Part of Inference
- Modeling actuarial data with a composite lognormal-Pareto model
- Modeling claims data with composite Stoppa models
- Modeling loss data using composite models
- Modeling loss data using mixtures of distributions
- Modeling severity and measuring tail risk of Norwegian fire claims
- Modeling with Weibull-Pareto models
- New composite models for the Danish fire insurance data
- On composite lognormal-Pareto models
- On generalized log-Moyal distribution: a new heavy tailed size distribution
- On Information and Sufficiency
- On modeling left-truncated loss data using mixtures of distributions
- Skewed bivariate models and nonparametric estimation for the CTE risk measure
- The Weibull–Pareto Composite Family with Applications to the Analysis of Unimodal Failure Rate Data
Cited in
(5)- Reducing Simulation Input-Model Risk via Input Model Averaging
- Model Selection and Averaging in Financial Risk Management
- The Automated Bias-Corrected and Accelerated Bootstrap Confidence Intervals for Risk Measures
- Loss modeling with the size-biased lognormal mixture and the entropy regularized EM algorithm
- Assessing model risk in financial and energy markets using dynamic conditional vars
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