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Robust and Efficient Fitting of Claim Severity Distributions
Robust and ... . . . , θk) = 1 1− aj − bj Z 1−bj aj hj(F −1(u)) du j = 1, . . . , k. 5 2. METHOD OF TRIMMED ... Z 1−bi ai Z 1−bj aj ` min{u, v} − uv ´ dhj ` F−1(v) ´ dhi ` F−1(u) ´ 7 2. METHOD OF TRIMMED ...- Authors: Bruce Jones, Vytaras Brazauskas, Ricardas Zitikis
- Date: Jul 2009
- Competency: Technical Skills & Analytical Problem Solving
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Weighted Pricing Functionals
weighted pricing functional piw : X → [0,∞], see Table 2.1. Actuarial pricing functionals w(x) piw[X] ... x1{x ≥ xp} E[X|X ≥ xp] +Var[X|X ≥ xp]/E[X|X ≥ xp] Table 2.1. Examples of the actuarial weighted pricing ...- Authors: Edward Furman, Ricardas Zitikis
- Date: May 2009
- Competency: External Forces & Industry Knowledge>Actuarial theory in business context
- Topics: Finance & Investments>Economic capital; Finance & Investments>Risk measurement - Finance & Investments
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The Actuarial CTE Risk Measure for Heavy-Tailed Losses: A New Estimator and Confidence Intervals
The ... 1− t ∫ 1 t Q(s)ds Estimator Ĉn(t) = 1 1− t ∫ 1 t Qn(s)ds, where Qn(s) = Xi:n ∀ s ∈ ( i− 1 n , ... t Q(s)ds + 1 1− t ∫ 1 1−k/n Q(s)ds ≈ 1 1− t ∫ 1−k/n t Qn(s)ds + 1 1− t ∫ 1 1−k/n Q˜(s)ds where ...- Authors: Ricardas Zitikis, Abdelhakim Necir, Abdelaziz Rassoul
- Date: Jul 2009
- Competency: Technical Skills & Analytical Problem Solving>Incorporate risk management