Failure Probability Under Parameter Uncertainty
Author
Abstract
Suggested Citation
DOI: 10.1111/j.1539-6924.2010.01549.x
Download full text from publisher
References listed on IDEAS
- Terje Aven, 2010. "On the Need for Restricting the Probabilistic Analysis in Risk Assessments to Variability," Risk Analysis, John Wiley & Sons, vol. 30(3), pages 354-360, March.
- Powers, Michael R. & Venezian, Emilio C. & Juca, Iana B., 2003. "Of happy and hapless regulators: the asymptotics of ruin," Insurance: Mathematics and Economics, Elsevier, vol. 32(2), pages 317-330, April.
- Cummins, J. David & Lewis, Christopher M. & Wei, Ran, 2006. "The market value impact of operational loss events for US banks and insurers," Journal of Banking & Finance, Elsevier, vol. 30(10), pages 2605-2634, October.
- Marcello Basili & Maurizio Franzini, 2006. "Understanding the Risk of an Avian Flu Pandemic: Rational Waiting or Precautionary Failure?," Risk Analysis, John Wiley & Sons, vol. 26(3), pages 617-630, June.
- Enrique López Droguett & Ali Mosleh, 2008. "Bayesian Methodology for Model Uncertainty Using Model Performance Data," Risk Analysis, John Wiley & Sons, vol. 28(5), pages 1457-1476, October.
- Sebastiaan N. Jonkman & Matthijs Kok & Johannes K. Vrijling, 2008. "Flood Risk Assessment in the Netherlands: A Case Study for Dike Ring South Holland," Risk Analysis, John Wiley & Sons, vol. 28(5), pages 1357-1374, October.
- 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.
- S. G. Kou & Hui Wang, 2004. "Option Pricing Under a Double Exponential Jump Diffusion Model," Management Science, INFORMS, vol. 50(9), pages 1178-1192, September.
- Thomas A. Severini, 2002. "On an exact probability matching property of right-invariant priors," Biometrika, Biometrika Trust, vol. 89(4), pages 952-957, December.
- J. Rolf Olsen & James H. Lambert & Yacov Y. Haimes, 1998. "Risk of Extreme Events Under Nonstationary Conditions," Risk Analysis, John Wiley & Sons, vol. 18(4), pages 497-510, August.
Citations
Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
Cited by:
- Dimitrina S. Dimitrova & Vladimir K. Kaishev & Shouqi Zhao, 2015. "Modeling Finite‐Time Failure Probabilities in Risk Analysis Applications," Risk Analysis, John Wiley & Sons, vol. 35(10), pages 1919-1939, October.
- Fröhlich, Andreas & Weng, Annegret, 2018. "Parameter uncertainty and reserve risk under Solvency II," Insurance: Mathematics and Economics, Elsevier, vol. 81(C), pages 130-141.
Most related items
These are the items that most often cite the same works as this one and are cited by the same works as this one.- Fröhlich, Andreas & Weng, Annegret, 2018. "Parameter uncertainty and reserve risk under Solvency II," Insurance: Mathematics and Economics, Elsevier, vol. 81(C), pages 130-141.
- 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.
- Iñaki Aldasoro & Leonardo Gambacorta & Paolo Giudici & Thomas Leach, 2023.
"Operational and Cyber Risks in the Financial Sector,"
International Journal of Central Banking, International Journal of Central Banking, vol. 19(5), pages 340-402, December.
- Iñaki Aldasoro & Leonardo Gambacorta & Paolo Giudici & Thomas Leach, 2020. "Operational and cyber risks in the financial sector," BIS Working Papers 840, Bank for International Settlements.
- Gambacorta, Leonardo & Aldasoro, Inaki & Giudici, Paolo & Leach, Thomas, 2020. "Operational and cyber risks in the financial sector," CEPR Discussion Papers 14418, C.E.P.R. Discussion Papers.
- Jun, Doobae & Ku, Hyejin, 2015. "Static hedging of chained-type barrier options," The North American Journal of Economics and Finance, Elsevier, vol. 33(C), pages 317-327.
- Christophe Chorro & Florian Ielpo & Benoît Sévi, 2017. "The contribution of jumps to forecasting the density of returns," Post-Print halshs-01442618, HAL.
- S. Cucurachi & E. Borgonovo & R. Heijungs, 2016. "A Protocol for the Global Sensitivity Analysis of Impact Assessment Models in Life Cycle Assessment," Risk Analysis, John Wiley & Sons, vol. 36(2), pages 357-377, February.
- Al-Amri, Khalid & Davydov, Yevgeniy, 2016. "Testing the effectiveness of ERM: Evidence from operational losses," Journal of Economics and Business, Elsevier, vol. 87(C), pages 70-82.
- Chendi Ni & Yuying Li & Peter A. Forsyth, 2023. "Neural Network Approach to Portfolio Optimization with Leverage Constraints:a Case Study on High Inflation Investment," Papers 2304.05297, arXiv.org, revised May 2023.
- Dilip B. Madan & Wim Schoutens & King Wang, 2017. "Measuring And Monitoring The Efficiency Of Markets," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 20(08), pages 1-32, December.
- Azamat Abdymomunov & Atanas Mihov, 2019. "Operational Risk and Risk Management Quality: Evidence from U.S. Bank Holding Companies," Journal of Financial Services Research, Springer;Western Finance Association, vol. 56(1), pages 73-93, August.
- Wang, Tawei & Hsu, Carol, 2013. "Board composition and operational risk events of financial institutions," Journal of Banking & Finance, Elsevier, vol. 37(6), pages 2042-2051.
- Nadine Gatzert & Philipp Reichel, 2022. "Awareness of climate risks and opportunities: empirical evidence on determinants and value from the U.S. and European insurance industry," The Geneva Papers on Risk and Insurance - Issues and Practice, Palgrave Macmillan;The Geneva Association, vol. 47(1), pages 5-26, January.
- Nteukam T., Oberlain & Planchet, Frédéric & Thérond, Pierre-E., 2011. "Optimal strategies for hedging portfolios of unit-linked life insurance contracts with minimum death guarantee," Insurance: Mathematics and Economics, Elsevier, vol. 48(2), pages 161-175, March.
- Boris Ter-Avanesov & Homayoon Beigi, 2024. "MLP, XGBoost, KAN, TDNN, and LSTM-GRU Hybrid RNN with Attention for SPX and NDX European Call Option Pricing," Papers 2409.06724, arXiv.org, revised Oct 2024.
- Gowin, Kathleen Donnelly & Wang, Daphne & Jory, Surendranath Rakesh & Houmes, Robert & Ngo, Thanh, 2021. "Impact on the firm value of financial institutions from penalties for violating anti-money laundering and economic sanctions regulations," Finance Research Letters, Elsevier, vol. 40(C).
- Sergii Skakun & Nataliia Kussul & Andrii Shelestov & Olga Kussul, 2014. "Flood Hazard and Flood Risk Assessment Using a Time Series of Satellite Images: A Case Study in Namibia," Risk Analysis, John Wiley & Sons, vol. 34(8), pages 1521-1537, August.
- Gian Paolo Clemente & Nino Savelli & Diego Zappa, 2019. "Modelling Outstanding Claims with Mixed Compound Processes in Insurance," International Business Research, Canadian Center of Science and Education, vol. 12(3), pages 123-138, March.
- Gapeev, Pavel V., 2006. "On maximal inequalities for some jump processes," SFB 649 Discussion Papers 2006-060, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
- Helin Zhu & Fan Ye & Enlu Zhou, 2013. "Fast Estimation of True Bounds on Bermudan Option Prices under Jump-diffusion Processes," Papers 1305.4321, arXiv.org.
- Uddin, Md Hamid & Mollah, Sabur & Islam, Nazrul & Ali, Md Hakim, 2023. "Does digital transformation matter for operational risk exposure?," Technological Forecasting and Social Change, Elsevier, vol. 197(C).
Corrections
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:wly:riskan:v:31:y:2011:i:5:p:727-744. See general information about how to correct material in RePEc.
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Wiley Content Delivery (email available below). General contact details of provider: https://doi.org/10.1111/(ISSN)1539-6924 .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.