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Superreplication under Volatility Uncertainty for Measurable Claims
Volatility uncertainty Superreplication Nonlinear expectation
2012/9/14
We establish the duality-formula for the superreplicationprice in a setting of volatility uncertainty which includes the example of “random G-expectation.” In contrast to previous results, the conting...
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...
Addressing the Impact of Data Truncation and Parameter Uncertainty on Operational Risk Estimates
operational risk truncated data Poisson-Lognormal compound distribution loss distribution approach
2010/11/1
Typically, operational risk losses are reported above some threshold. This paper studies the
impact of ignoring data truncation on the 0.999 quantile of the annual loss distribution for
operational ...
Empirical Rules of Thumb for Choice under Uncertainty
rank-dependent utility maximin maximax mid-range
2014/6/25
A substantial body of empirical evidence shows that individuals overweight extreme events and act in conflict with the expected utility theory. These findings were the primary motivation behind thedev...