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Portfolio Insurance and model uncertainty
Minimum-wealth or income- stream guarantee Model uncertainty Portfolio Insurance Portfolio selection
2011/9/16
Some real-world insurance products contain a minimum-wealth or an income-stream guarantee, both of which have to he met irrespective of capital market conditions. Therefore, sellers of such products a...
The framework of this paper is that of uncertainty, that is when no reference probability measure is given. To every convex regular risk measure $\rho$ on ${\cal C}_b(\Omega)$, we associate a canonica...
Model uncertainty in claims reserving within Tweedie's compound Poisson models
Claims reserving model uncertainty Tweedie’s compound Poisson model Bayesian analysis model selection model averaging Markov chain Monte Carlo
2010/10/29
In this paper we examine the claims reserving problem using Tweedie’s compound Poisson model. We develop the maximum likelihood and Bayesian Markov chain Monte Carlo simulation approaches to fit the m...