Estimating the Parameter Risk o f a Loss Ratio Distribution

@inproceedings{Kampen2003EstimatingTP,
  title={Estimating the Parameter Risk o f a Loss Ratio Distribution},
  author={Charles E. Van Kampen},
  year={2003}
}
Actuaries commonly build statistical models to predict future experience. To do this a model must be chosen, and parameters for that model must be calculated and selected. This paper assumes that the correct model has been chosen, but looks at the risk taken by assuming that the selected parameters accurately represent the true underlying distribution. A bootstrapping methodology is used to estimate the parameter risk associated with a loss ratio distribution. The results provide an estimate of… CONTINUE READING

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Loss Distributions

  • R. Hogg, S. Klugman
  • 1984
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