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.
- File：
JMI2012B-1.pdf (105KB)
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.
Keyword(s). Bayesian inference, parameter risk, model risk, loss ratio
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