Editorial Board

JMI2012B-1 Bayesian approach to measuring parameter and model risk in loss ratio estimation (pp.85-89)

Author(s): Hiroki Kondo and Shingo Saito

J. Math-for-Ind. 4B (2012) 85-89.

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.

Keyword(s).  Bayesian inference, parameter risk, model risk, loss ratio