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Estimating quantile families of loss distributions for non-life insurance modelling via L-moments

Peters, Gareth W.; Chen, Wilson Ye; Gerlach, Richard H. - In: Risks 4 (2016) 2, pp. 1-41

This paper discusses different classes of loss models in non-life insurance settings. It then overviews the class of Tukey transform loss models that have not yet been widely considered in non-life insurance modelling, but offer opportunities to produce flexible skewness and kurtosis features...

Persistent link: https://www.econbiz.de/10011709555

Estimating quantile families of loss distributions for non-life insurance modelling via L-moments

Peters, Gareth; Chen, Wilson Ye; Gerlach, Richard H. - In: Risks : open access journal 4 (2016) 2, pp. 1-41

Persistent link: https://www.econbiz.de/10011507468

Bayesian time-varying quantile forecasting for value-at-risk in financial markets

Gerlach, Richard H.; Chen, Cathy W. S.; Chan, Nancy Y. C. - In: Journal of business & economic statistics : JBES ; a … 29 (2011) 4, pp. 481-492

Persistent link: https://www.econbiz.de/10009355672

The two-sided Weibull distribution and forecasting financial tail risk

Chen, Qian; Gerlach, Richard H. - In: International journal of forecasting 29 (2013) 4, pp. 541-547

Persistent link: https://www.econbiz.de/10010212495

Semiparametric GARCH via Bayesian model averaging

Chen, Wilson Ye; Gerlach, Richard H. - In: Journal of business & economic statistics : JBES ; a … 39 (2021) 2, pp. 437-452

Persistent link: https://www.econbiz.de/10012499090

Dynamic quantile function models

Chen, Wilson Ye; Peters, Gareth; Gerlach, Richard H.; … - In: Quantitative finance 22 (2022) 9, pp. 1665-1691

Persistent link: https://www.econbiz.de/10013367940