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Persistent link: https://www.econbiz.de/10011929844
Actuaries are often faced with the task of estimating tails of loss distributions from just a few observations. Thus estimates of tail probabilities (reinsurance prices) and percentiles (solvency capital requirements) are typically subject to substantial parameter uncertainty. We study the bias...
Persistent link: https://www.econbiz.de/10013067771
The SWIM package implements a flexible sensitivity analysis framework, based primarily on results and tools developed by Pesenti et al. (2019). SWIM provides a stressed version of a stochastic model, subject to model components (random variables) fulfilling given probabilistic constraints...
Persistent link: https://www.econbiz.de/10012844635
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