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One-yea reserve risk including a tail factor : closed formula and bootstrap approaches
Non‐life insurance Reserve risk Claims Development Result Bootstrap method Tail factor Prediction error Solvency II
2011/7/19
In this paper, we detail the main simulation methods used in practice to measure one‐year reserve risk, and describe the bootstrap method providing an empirical distribution of the Claims Development ...
One-yea reserve risk including a tail factor : closed formula and bootstrap approaches
Non‐life insurance, Reserve risk, Claims Development Result, Bootstrap method, Tail factor, Prediction
2011/7/19
In this paper, we detail the main simulation methods used in practice to measure one‐year reserve risk, and describe the bootstrap method providing an empirical distribution of the Claims Development ...
Chain ladder method: Bayesian bootstrap versus classical bootstrap
Claims reserving distribution-free chain ladder mean square error of prediction Bayesian chain ladder approximate Bayesian computation Markov chain Monte Carlo annealing bootstrap
2010/4/28
The intention of this paper is to estimate a Bayesian distribution-free chain ladder (DFCL) model using approximate Bayesian computation (ABC) methodology. We demonstrate how to estimate quantities of...