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Practical aspects of modelling parameter uncertainty for risk capital calculation

Author
Blanco, D.; Weng, A.
Type of activity
Journal article
Journal
Zeitschrift fur die gesamte Versicherungswissenschaft
Date of publication
2019-02-11
Volume
108
Number
1
First page
43
Last page
62
DOI
10.1007/s12297-019-00428-x
Repository
http://hdl.handle.net/2117/170521 Open in new window
URL
https://link.springer.com/article/10.1007/s12297-019-00428-x Open in new window
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 para...
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.
Group of research
GRBIO - Biostatistics and Bioinformatics Research Group

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