Search Results - subject:"Internal Model"

Model error (or ambiguity) and its estimation, with particular application to loss reserving

Taylor, Greg; Mc Guire, Gráinne - In: Risks : open access journal 11 (2023) 11, pp. 1-28

considered in two parts: one part that is capable of estimation from past data (internal model error), and another part that is … not (external model error). Attention is focused here on internal model error. Estimation of this error component is …

Persistent link: https://www.econbiz.de/10014435599

Actuarial applications and estimation of extended CreditRisk+

Hirz, Jonas; Schmock, Uwe; Shevchenko, Pavel V. - In: Risks 5 (2017) 2, pp. 1-29

We introduce an additive stochastic mortality model which allows joint modelling and forecasting of underlying death causes. Parameter families for mortality trends can be chosen freely. As model settings become high dimensional, Markov chain Monte Carlo (MCMC) is used for parameter estimation....

Persistent link: https://www.econbiz.de/10011709589

Actuarial applications and estimation of extended CreditRisk+

Hirz, Jonas; Schmock, Uwe; Shevchenko, Pavel V. - In: Risks : open access journal 5 (2017) 2, pp. 1-29

Persistent link: https://www.econbiz.de/10011643397

Modelling and Internal Fuzzy Model Power Control of a Francis Water Turbine

Nagode, Klemen; Škrjanc, Igor - In: Energies 7 (2014) 2, pp. 874-889

power control with an internal model control (IMC) is proposed, based on a turbine fuzzy model. Considering appropriate …, which are further included in the internal model controller. The results are compared to a proportional-integral (PI …) controller tuned with an integral absolute error (IAE) objective function, and show an improved response of internal model …

Persistent link: https://www.econbiz.de/10011030931

Stochastic modeling of financing longevity risk in pension insurance

Ronkainen, Vesa - Suomen Pankki - 2012

This work studies and develops tools to quantify and manage the risks and uncertainty relating to the pricing of annuities in the long run. To this end, an idealized Monte-Carlo simulation model is formulated, estimated and implemented, which enables one to investigate some typical pension and...

Persistent link: https://www.econbiz.de/10011019137

"A correlation sensitivity analysis of non-life underwriting risk in solvency capital requirement estimation"

Bermúdez, Lluís; Ferri, Antoni; Guillén, Montse - Facultat d'Economia i Empresa, Universitat de Barcelona - 2011

using an Internal Model based on a Monte Carlo simulation of the net underwriting result at a one-year horizon, with copulas …

Persistent link: https://www.econbiz.de/10009292412