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Parameter Uncertainty and Residual Estimation Risk

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  • Valeria Bignozzi
  • Andreas Tsanakas

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  • Valeria Bignozzi & Andreas Tsanakas, 2016. "Parameter Uncertainty and Residual Estimation Risk," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 83(4), pages 949-978, December.
    • Handle: RePEc:bla:jrinsu:v:83:y:2016:i:4:p:949-978
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    File URL: http://hdl.handle.net/10.1111/jori.12075
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    References listed on IDEAS

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    2. Brys, Guy & Hubert, Mia & Struyf, Anja, 2006. "Robust measures of tail weight," Computational Statistics & Data Analysis, Elsevier, vol. 50(3), pages 733-759, February.
    3. England, P. D. & Verrall, R. J., 2006. "Predictive Distributions of Outstanding Liabilities in General Insurance," Annals of Actuarial Science, Cambridge University Press, vol. 1(2), pages 221-270, September.
    4. Boucher, Christophe M. & Daníelsson, Jón & Kouontchou, Patrick S. & Maillet, Bertrand B., 2014. "Risk models-at-risk," Journal of Banking & Finance, Elsevier, vol. 44(C), pages 72-92.
    5. Rama Cont & Romain Deguest & Giacomo Scandolo, 2010. "Robustness and sensitivity analysis of risk measurement procedures," Post-Print hal-00413729, HAL.
    6. Cairns, Andrew J. G., 2000. "A discussion of parameter and model uncertainty in insurance," Insurance: Mathematics and Economics, Elsevier, vol. 27(3), pages 313-330, December.
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    8. Kerkhof, Jeroen & Melenberg, Bertrand & Schumacher, Hans, 2010. "Model risk and capital reserves," Journal of Banking & Finance, Elsevier, vol. 34(1), pages 267-279, January.
    9. Kevin Dowd & David Blake, 2006. "After VaR: The Theory, Estimation, and Insurance Applications of Quantile‐Based Risk Measures," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 73(2), pages 193-229, June.
    10. Rama Cont & Romain Deguest & Giacomo Scandolo, 2010. "Robustness and sensitivity analysis of risk measurement procedures," Quantitative Finance, Taylor & Francis Journals, vol. 10(6), pages 593-606.
    11. Landsman, Z. & Tsanakas, A., 2012. "Parameter Uncertainty in Exponential Family Tail Estimation," ASTIN Bulletin, Cambridge University Press, vol. 42(1), pages 123-152, May.
    12. Philippe Artzner & Freddy Delbaen & Jean‐Marc Eber & David Heath, 1999. "Coherent Measures of Risk," Mathematical Finance, Wiley Blackwell, vol. 9(3), pages 203-228, July.
    13. Thomas A. Severini, 2002. "On an exact probability matching property of right-invariant priors," Biometrika, Biometrika Trust, vol. 89(4), pages 952-957, December.
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    Cited by:

    1. Mariano González-Sánchez & Eva M. Ibáñez Jiménez & Ana I. Segovia San Juan, 2022. "Market and model risks: a feasible joint estimate methodology," Risk Management, Palgrave Macmillan, vol. 24(3), pages 187-213, September.
    2. Fröhlich, Andreas & Weng, Annegret, 2018. "Parameter uncertainty and reserve risk under Solvency II," Insurance: Mathematics and Economics, Elsevier, vol. 81(C), pages 130-141.
    3. Mohammed Berkhouch & Fernanda Maria Müller & Ghizlane Lakhnati & Marcelo Brutti Righi, 2022. "Deviation-Based Model Risk Measures," Computational Economics, Springer;Society for Computational Economics, vol. 59(2), pages 527-547, February.
    4. Claußen, Arndt & Rösch, Daniel & Schmelzle, Martin, 2019. "Hedging parameter risk," Journal of Banking & Finance, Elsevier, vol. 100(C), pages 111-121.
    5. Michel Dacorogna, 2023. "How to Gain Confidence in the Results of Internal Risk Models? Approaches and Techniques for Validation," Risks, MDPI, vol. 11(5), pages 1-20, May.
    6. Roba Bairakdar & Lu Cao & Melina Mailhot, 2020. "Range Value-at-Risk: Multivariate and Extreme Values," Papers 2005.12473, arXiv.org.
    7. Soren Bettels & Sojung Kim & Stefan Weber, 2022. "Multinomial Backtesting of Distortion Risk Measures," Papers 2201.06319, arXiv.org, revised Aug 2024.

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