Satisficing credibility for heterogeneous risks

DOI10.1016/j.ejor.2021.07.020zbMath1490.91168OpenAlexW3185172141MaRDI QIDQ2076853

Ka Chun Cheung, Yiying Zhang, Sheung Chi Phillip Yam

Publication date: 22 February 2022

Published in: European Journal of Operational Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.ejor.2021.07.020

zbMATH Keywords

regular variationextreme value theoryrisk managementsatisficing methodsemi-linear credibility estimator

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistics of extreme values; tail inference (62G32) Actuarial mathematics (91G05)

Related Items (1)

Exact credibility reference Bayesian premiums

Uses Software

• QRM

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Satisficing measure approach for vehicle routing problem with time windows under uncertainty
• A new approach to the credibility formula
• Sharp asymptotics for large portfolio losses under extreme risks
• Efficient shrinkage in parametric models
• A generalization of the credibility theory obtained by using the weighted balanced loss function
• An improved method for forecasting spare parts demand using extreme value theory
• Robust-efficient credibility models with heavy-tailed claims: a mixed linear models perspective
• Risk measures in a quantile regression credibility framework with Fama/French data applications
• Pure robust versus robust portfolio unbiased -- credibility and asymptotic optimality
• Quantile credibility models
• Credibility theory based on trimming
• Interplay of insurance and financial risks in a discrete-time model with strongly regular variation
• Credible risk measures with applications in actuarial sciences and finance
• Bayes and empirical Bayes: do they merge?
• Extreme versions of Wang risk measures and their estimation for heavy-tailed distributions
• The Framing of Decisions and the Psychology of Choice
• Satisficing Measures for Analysis of Risky Positions
• Empirical Bayes credibility
• Bayesian and Bühlmann credibility for phase-type distributions with a univariate risk parameter
• Pair Copula Constructions for Insurance Experience Rating
• Parametric Empirical Bayes Inference: Theory and Applications
• An Introduction to Heavy-Tailed and Subexponential Distributions
• Group-Linear Empirical Bayes Estimates for a Heteroscedastic Normal Mean
• Multiple Objectives Satisficing Under Uncertainty
• Multiattribute Preference Analysis with Performance Targets
• Regression Tree Credibility Model
• Heavy-Tail Phenomena
• Operational Risk
• Credibility Theory

This page was built for publication: Satisficing credibility for heterogeneous risks