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Articles in "Actuarial science"
Deal or no deal? Decision making under risk in a large-payoff game show
We examine the risky choices of contestants in the popular TV game show 'Deal or No Deal' and related classroom experiments. Contrary to the traditional view of expected utility theory, the choices can be explained in large part by previous outcomes experienced during the game.
Updated: 27/10/2011
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Views: 3,757
Froot and Stein revisited once again
In this paper we show that the economic intuition behind the paper of Froot and Stein (1998) is correct and that their result can be obtained when the market is reformulated in a discrete time setting.
Updated: 22/09/2011
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Views: 3,668
A mixing model for operational risk
External data can often be useful in improving estimation of operational risk loss distributions. This paper develops a systematic approach that incorporates external information into internal loss distribution modelling.
Updated: 22/09/2011
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Views: 3,221
Combining underreported internal and external data for operational risk measurement
This paper proposes a model for operational losses that improves the internal loss distribution modelling by combining internal and external operational risk data. It also considers the possibility that internal and external data have been collected with a different truncation threshold.
Updated: 22/09/2011
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Views: 3,657
Combining underreported internal and external data for operational risk measurement
This paper proposes a model for operational losses that improves the internal loss distribution modelling by combining internal and external operational risk data. It also considers the possibility that internal and external data have been collected with a different truncation threshold.
Updated: 22/09/2011
Comments:
Views: 3,657
Estimating multiplicative and additive hazard functions by Kernel methods
We propose new procedures for estimating the univariate quantities of interest in both additive and multiplicative nonparametric marker dependent hazard models.
Updated: 22/09/2011
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Views: 3,056
Non-parametric regression with a latent time series
In this paper we investigate a class of semi-parametric models for panel data sets where the cross-section and time dimensions are large.
Updated: 22/09/2011
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Views: 3,065
Multidimensional credibility with time effects: an application to commercial business lines
This article considers Danish insurance business lines for which the pricing methodology has been dramatically upgraded recently.
Updated: 22/09/2011
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Views: 3,181
Apples and pears: the comparison of risk capital and required return in financial institutions
Risk capital is the contribution of an exposure to the default risk of a financial institution.
Updated: 22/09/2011
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Views: 3,210
Optimal management of an insurer's exposure in a competitive general insurance market
The qualitative behaviour of the optimal premium strategy is determined for an insurer in a finite and an infinite market using a deterministic general insurance model. The optimisation problem leads to a system of forward-backward differential equations obtained from Pontryagin's Maximum Principle. An analytical optimal premium strategy is also found using inverse methods when the price function is nonlinear.
Updated: 22/09/2011
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Views: 3,404
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