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Bayesian Risk Aggregation: Correlation Uncertainty and Expert Judgement
Bayesian copula estimation. Contrary to the classic approach of using a single inter-risk- correlation ... distribution of possible correlation matrices that enables us to tackle the important issue of parameter ...- Authors: Klaus Bocker
- Date: Jan 2011
- Competency: External Forces & Industry Knowledge>Actuarial theory in business context
- Topics: Enterprise Risk Management>Capital management - ERM; Finance & Investments>Economic capital; Modeling & Statistical Methods>Bayesian methods
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Bayesian Reserving Models Inspired by Chain Ladder Methods and Implemented Using WinBUGS
inspired by a consideration of some of the methods and techniques appearing in the traditional chain ladder ... model for the year over year development factors. The issues of reserve variability and ranges of reasonable ...- Authors: David Scollnik
- Date: Sep 2008
- Competency: External Forces & Industry Knowledge>Actuarial theory in business context
- Topics: Economics>Financial economics; Modeling & Statistical Methods>Bayesian methods; Modeling & Statistical Methods>Stochastic models
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Current Pension Actuarial Practice in Light of Financial Economics Symposium: A Bayesian Model for Developing an Optimal Mix of Defined Contribution and Defined Benefit Plans
in Light of Financial Economics Symposium: A Bayesian Model for Developing an Optimal Mix of Defined Contribution ... for a mix of DB and DC retirement plans that meets the dual objectives of predictability of employer cash ...- Authors: Armand Yambao
- Date: Jun 2003
- Competency: External Forces & Industry Knowledge>Actuarial theory in business context
- Topics: Modeling & Statistical Methods>Bayesian methods; Pensions & Retirement>Pension finance
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Credibility Using Copulas
encounter data from a cross-section of risk classes towns with a history of insurance claims available for ... class. For the marginal claims distributions, we use generalized linear models, an extension of linear regression ...- Authors: Edward Frees, PING WANG
- Date: Sep 2008
- Competency: External Forces & Industry Knowledge>Actuarial theory in business context
- Topics: Finance & Investments>Risk measurement - Finance & Investments; Modeling & Statistical Methods>Bayesian methods; Modeling & Statistical Methods>Stochastic models