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Robust actuarial risk analysis
Recurso electrónico / Electronic resource
MAP20190014595
Robust actuarial risk analysis / Jose Blanchet...[et.al.]
Sumario: This article investigates techniques for the assessment of model error in the context of insurance risk analysis. The methodology is based on finding robust estimates for actuarial quantities of interest, which are obtained by solving optimization problems over the unknown probabilistic models, with constraints capturing potential nonparametric misspecification of the true model. We demonstrate the solution techniques and the interpretations of these optimization problems, and illustrate several examples, including calculating loss probabilities and conditional value-at-risk
En: North American actuarial journal. - Schaumburg : Society of Actuaries, 1997- = ISSN 1092-0277. - 01/03/2019 Tomo 23 Número 1 - 2019 , p. 33-63
1. Análisis de riesgos ‌. 2. Matemática del seguro ‌. 3. Cálculo actuarial ‌. I. Blanchet, Jose ‌.