Mostra el registre d'ítem simple
Practical aspects of modelling parameter uncertainty for risk capital calculation
dc.contributor.author | Blanco de Tena Davila, David |
dc.contributor.author | Weng, Annegret |
dc.contributor.other | Universitat Politècnica de Catalunya. Doctorat en Estadística i Investigació Operativa |
dc.date.accessioned | 2019-10-22T07:21:19Z |
dc.date.available | 2020-02-01T01:26:16Z |
dc.date.issued | 2019-02-11 |
dc.identifier.citation | Blanco, 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.issn | 1865-9748 |
dc.identifier.uri | http://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.abstract | We 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.extent | 20 p. |
dc.language.iso | eng |
dc.rights | Attribution-NonCommercial-NoDerivs 3.0 Spain |
dc.rights.uri | http://creativecommons.org/licenses/by-nc-nd/3.0/es/ |
dc.subject | Àrees temàtiques de la UPC::Economia i organització d'empreses |
dc.subject.lcsh | Risk assessment |
dc.subject.lcsh | Mathematical statistics |
dc.title | Practical aspects of modelling parameter uncertainty for risk capital calculation |
dc.type | Article |
dc.subject.lemac | Avaluació del risc |
dc.subject.lemac | Estadística matemàtica |
dc.contributor.group | Universitat Politècnica de Catalunya. GRBIO - Grup de Recerca en Bioestadística i Bioinformàtica |
dc.identifier.doi | 10.1007/s12297-019-00428-x |
dc.description.peerreviewed | Peer Reviewed |
dc.relation.publisherversion | https://link.springer.com/article/10.1007/s12297-019-00428-x |
dc.rights.access | Open Access |
local.identifier.drac | 25169646 |
dc.description.version | Postprint (author's final draft) |
local.citation.author | Blanco, D.; Weng, A. |
local.citation.publicationName | Zeitschrift fur die gesamte Versicherungswissenschaft |
local.citation.volume | 108 |
local.citation.number | 1 |
local.citation.startingPage | 43 |
local.citation.endingPage | 62 |
Fitxers d'aquest items
Aquest ítem apareix a les col·leccions següents
-
Articles de revista [214]
-
Articles de revista [70]