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A discussion of parameter and model uncertainty in insurance
9 references·16 citing·39 second hop
A discussion of parameter and model uncertainty in insurance (2000)A discussion of parameter and model uncer…Estimating the Tails of Loss Severity Distributions Using Extreme Value Theory (1997)Estimating the Tails of Loss …More on a Stochastic Asset Model for Actuarial Use (1995)More on a Stochastic Asset Mo…Practical Risk Theory for Actuaries. (1994)Practical Risk Theory for Act…Practical risk theory for actuaries. (1994)Practical risk theory for act…Insurance Risk Models (1994)Insurance Risk ModelsBayesian and non-Bayesian methods for combining models and forecasts with applications to forecasting international growth rates (1993)Bayesian and non-Bayesian met…Combining forecasts: A review and annotated bibliography (1990)Combining forecasts: A review…Combining forecasts: A review and annotated bibliography (1989)Combining forecasts: A review…Estimation Risk and Optimal Portfolio Choice. (1981)Estimation Risk and Optimal P…How to address model uncertainty in the escalation of domino effects? (2018)How to address model uncertai…Robust optimal investment and reinsurance of an insurer under variance premium principle and default risk (2016)Robust optimal investment and…Modelling longevity bonds: Analysing the Swiss Re Kortis bond (2015)Modelling longevity bonds: An…Quantile Uncertainty and Value‐at‐Risk Model Risk (2012)Quantile Uncertainty and Valu…Stochastic differential portfolio games for an insurer in a jump-diffusion risk process (2011)Stochastic differential portf…Financial Enterprise Risk Management (2011)Financial Enterprise Risk Man…Explaining young mortality (2011)Explaining young mortalityA stochastic differential game for optimal investment of an insurer with regime switching (2010)A stochastic differential gam…Optimal investment and reinsurance of an insurer with model uncertainty (2009)Optimal investment and reinsu…On the optimal product mix in life insurance companies using conditional value at risk (2009)On the optimal product mix in…Model Uncertainty in Claims Reserving within Tweedie's Compound Poisson Models (2009)Model Uncertainty in Claims R…Backtesting Stochastic Mortality Models: An Ex-Post Evaluation of Multi-Period Ahead-Density Forecasts (2009)Backtesting Stochastic Mortal…Actuarial Applications of a Hierarchical Insurance Claims Model (2009)Actuarial Applications of a H…Longevity risk and the Grim Reaper’s toxic tail: The survivor fan charts (2008)Longevity risk and the Grim R…A Two-Factor Model for Stochastic Mortality with Parameter Uncertainty (2006)A Two-Factor Model for Stocha…The Present and Future of Financial Risk Management (2005)The Present and Future of Fin…The Combination of Forecasts (1969)Bayesian Model Averaging and exchange rate forecasts (2008)Least-squares forecast averaging (2008)Forecasting with temporal hierarchies (2017)Expert judgment: Some necessary conditions and an example. 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By Stuart Klugman, Harry Panjer and Gordon Willmot [John Wiley & Sons, New York, 1998] (1999)
this work references cited by second hop

References

  • 1989Combining forecasts: A review and annotated bibliography2,170 cited
  • 1990Combining forecasts: A review and annotated bibliography1,465 cited
  • 1997Estimating the Tails of Loss Severity Distributions Using Extreme Value Theory543 cited
  • 1993Bayesian and non-Bayesian methods for combining models and forecasts with applications to forecasting international growth rates307 cited
  • 1981Estimation Risk and Optimal Portfolio Choice.304 cited
  • 1994Insurance Risk Models276 cited
  • 1995More on a Stochastic Asset Model for Actuarial Use271 cited
  • 1994Practical risk theory for actuaries.205 cited
  • 1994Practical Risk Theory for Actuaries.197 cited

Cited by

  • 2009Optimal investment and reinsurance of an insurer with model uncertainty95 cited
  • 2012Quantile Uncertainty and Value‐at‐Risk Model Risk80 cited
  • 2009Model Uncertainty in Claims Reserving within Tweedie's Compound Poisson Models77 cited
  • 2005The Present and Future of Financial Risk Management68 cited
  • 2009Actuarial Applications of a Hierarchical Insurance Claims Model66 cited
  • 2016Robust optimal investment and reinsurance of an insurer under variance premium principle and default risk

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65 cited
  • 2009On the optimal product mix in life insurance companies using conditional value at risk63 cited
  • 2011Explaining young mortality57 cited
  • 2008Longevity risk and the Grim Reaper’s toxic tail: The survivor fan charts57 cited
  • 2011Financial Enterprise Risk Management57 cited
  • 2009Backtesting Stochastic Mortality Models: An Ex-Post Evaluation of Multi-Period Ahead-Density Forecasts53 cited
  • 2010A stochastic differential game for optimal investment of an insurer with regime switching49 cited
  • 2018How to address model uncertainty in the escalation of domino effects?47 cited
  • 2006A Two-Factor Model for Stochastic Mortality with Parameter Uncertainty46 cited
  • 2015Modelling longevity bonds: Analysing the Swiss Re Kortis bond44 cited
  • 2011Stochastic differential portfolio games for an insurer in a jump-diffusion risk process41 cited