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dc.contributor.authorBlanco de Tena Davila, David
dc.contributor.authorWeng, Annegret
dc.contributor.otherUniversitat Politècnica de Catalunya. Doctorat en Estadística i Investigació Operativa
dc.date.accessioned2019-10-22T07:21:19Z
dc.date.available2020-02-01T01:26:16Z
dc.date.issued2019-02-11
dc.identifier.citationBlanco, D.; Weng, A. Practical aspects of modelling parameter uncertainty for risk capital calculation. "Zeitschrift fur die gesamte Versicherungswissenschaft", 11 Febrer 2019, vol. 108, núm. 1, p. 43-62.
dc.identifier.issn1865-9748
dc.identifier.urihttp://hdl.handle.net/2117/170521
dc.description“This is a post-peer-review, pre-copyedit version of an article published in Zeitschrift fur die gesamte Versicherungswissenschaft. The final authenticated version is available online at: http://dx.doi.org/10.1007/s12297-019-00428-x
dc.description.abstractWe assume that an insurance undertaking models its risk by a random variable X=X(¿0) with a fixed parameter (vector) ¿0. If the undertaking does not know ¿0 and can only estimate it from historical data, it faces parameter uncertainty. Neglecting parameter uncertainty can lead to an underestimation of the true risk capital requirement (see e.g. Gerrard and Tsanakas 2011; Fröhlich and Weng 2015). In this contribution we address some practical questions. To illustrate the relevance of the parameter risk we determine the probability of solvency for a risk capital model not taking parameter uncertainty into account for different distributions and samples sizes. We then follow the “inversion method” introduced in Fröhlich and Weng (2015) known to model an appropriate risk capital requirement respecting parameter uncertainty for a wide class of distributions and common estimation methods. We extend the idea to distribution families and estimation methods that have not been considered so far in this context but are frequently used to model the losses of an insurance undertaking
dc.format.extent20 p.
dc.language.isoeng
dc.rightsAttribution-NonCommercial-NoDerivs 3.0 Spain
dc.rights.urihttp://creativecommons.org/licenses/by-nc-nd/3.0/es/
dc.subjectÀrees temàtiques de la UPC::Economia i organització d'empreses
dc.subject.lcshRisk assessment
dc.subject.lcshMathematical statistics
dc.titlePractical aspects of modelling parameter uncertainty for risk capital calculation
dc.typeArticle
dc.subject.lemacAvaluació del risc
dc.subject.lemacEstadística matemàtica
dc.contributor.groupUniversitat Politècnica de Catalunya. GRBIO - Grup de Recerca en Bioestadística i Bioinformàtica
dc.identifier.doi10.1007/s12297-019-00428-x
dc.description.peerreviewedPeer Reviewed
dc.relation.publisherversionhttps://link.springer.com/article/10.1007/s12297-019-00428-x
dc.rights.accessOpen Access
local.identifier.drac25169646
dc.description.versionPostprint (author's final draft)
local.citation.authorBlanco, D.; Weng, A.
local.citation.publicationNameZeitschrift fur die gesamte Versicherungswissenschaft
local.citation.volume108
local.citation.number1
local.citation.startingPage43
local.citation.endingPage62


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