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

＜journal article＞
Bayesian approach to measuring parameter and model risk in loss ratio estimation

Creator	Creator Name Kondo, Hiroki 近藤, 宏樹コンドウ, ヒロキ
Creator	Creator Name Saito, Shingo 斎藤, 新悟サイトウ, シンゴ
Language	English
Publisher	Faculty of Mathematics, Kyushu University
Publisher	九州大学大学院数理学研究院
Date	2012-10
Source Title	Journal of Math-for-Industry (JMI)
Vol	4
Issue	B
First Page	85
Last Page	89
Publication Type	Version of Record
Access Rights	open access
Related DOI	JMI ; 2012B-1
Related DOI	Journal of Math-for-Industry \|\| 4(B) \|\| p85-89
	JMI \|\| 4(B) \|\| p85-89
	http://gcoe-mi.jp/
Related URI	Journal of Math-for-Industry \|\| 4(B) \|\| p85-89
	JMI \|\| 4(B) \|\| p85-89
	http://gcoe-mi.jp/
Relation	JMI ; 2012B-1
	Journal of Math-for-Industry \|\| 4(B) \|\| p85-89
	JMI \|\| 4(B) \|\| p85-89
	http://gcoe-mi.jp/
Abstract	Using an approach based on Bayesian inference, we propose a method to compute an estimate for the Value-at-Risk of an insurance loss ratio, taking both parameter and model risk into account.

File	FileType	Size	Views	Description
2012B-1	pdf	99.6 KB	160

Record ID	1397703
Peer-Reviewed	Refereed
Subject Terms	Bayesian inference
	parameter risk
	model risk
	loss ratio
ISSN	1884-4774
NCID	AA12444018
Notes	MI: Global COE Program Education-and-Research Hub for Mathematics-for-Industry
Notes	グローバルCOEプログラム「マス･フォア･インダストリ教育研究拠点」
Type	学術雑誌論文
Created Date	2014.01.07
Modified Date	2020.11.02