Description: This paper discusses a natural and convenient statistic, the nested L-statistic, investigates its performance using a simulation study, and considers an example involving the comparison of risk measure values where the risks of interest are those associated with tornado damage in different time periods and different regions. From the Actuarial Research Clearing House, 2008, Vol.1.

Description: Many quantities arising in non-life insurance depend on claim severity distributions, which are usually modeled assuming a parametric form. Obtaining good estimates of the quantities, therefore, reduces to having good estimates of the model parameters. However, the notion of 'good estimate' depends on the problem at hand. For example, the maximum likelihood estimators [MLE] are efficient, but they generally lack robustness. Since outliers are common in insurance loss data, it is therefore important to have a method that allows one to balance between efficiency and robustness. This presentation suggests a general estimation method that we call the method of trimmed moments [MTM]. This method is appropriate for various model fitting situations including those for which a close fit in one or both tails of the distribution is not required. The MTM estimators can achieve various degrees of robustness, and they also allow the decision maker to easily see the actions of the estimators on the data, which makes them particularly appealing.

Description: This is the abstract for the research on robust regression credibility models for heavy-tailed claims.

Description: This paper discusses the actuarial risk measures and uses a variety of estimation techniques such as nonparametric approach, parametric methods and robust procedures. From 39th Actuarial Research Conference, Iowa City, Iowa, August 5-7, 2004.

Description: This abstract describes a paper that produces a high-resolution, 100-member simulation of surface atmospheric temperature over North America for 1979–2015.

Description: This is the abstract for the research on robust and efficient fitting of claim severity distributions.

Description: This project obtains ensemble simulations of surface atmospheric temperature over North America.

Description: This abstract describes a paper that supplements actuarial literature in which probability distributions have been proposed, by adding the log-folded-normal and log-folded-t families.

Description: This abstract describes a paper that investigates model uncertainty arising from different ways of treating the operational loss data collection threshold.