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- W1588506321 abstract "This talk is based on the joint work [3] with Hiroki Kondo of Nisshin Fire & Marine Insurance Company, Limited and of the Graduate School of Mathematics, Kyushu University. It is a significant component of risk management for an insurance company to estimate the future loss ratio (the total losses divided by the total premiums) of a line of business, given the data for previous years. We shall focus on the problem of finding an estimator of the Value-at-Risk (VaR, quantile) of the future annual loss ratio, assuming that the annual loss ratios are independent and identically distributed. Here, for a positive number slightly smaller than 1, the 100 % VaR of a random variable y is the value y0 for which the probability that y is at most y0 is ." @default.
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- W1588506321 date "2012-10-01" @default.
- W1588506321 modified "2023-09-26" @default.
- W1588506321 title "Bayesian approach to measuring parameter and model risk in loss ratio estimation" @default.
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