capital reserves. Grid maps and model averaging confirm that mixture and composite models better capture the heavy …This work presents a practical approach to improve risk quantification for heavy-tailed insurance claims through model … averaging and grid map visualization, addressing the drawbacks of traditional single "best" model selection commonly used in …

We utilize Bayesian model averaging to estimate a stochastic discount factor (SDF) for single-stock options. A Bayesian … model averaging SDF outperforms reduced-form benchmark models in-sample and out-of-sample in pricing option return anomalies …