Abstract
In an earlier paper, we proposed a Bayesian approach towards estimating the Value-at-Risk of an insurance loss ratio, taking into account both the parameter risk and the model risk. In this paper, we apply the approach to real data and evaluate the plausibility of the estimators.
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References
Kondo, H., Saito, S.: Bayesian approach to measuring parameter and model risk in loss ratio estimation. J. Math. Ind. 4(B), 85–89 (2012)
The General Insurance Association of Japan: Hoken Shumoku Betsu Songai Ritsu (loss ratios by line). http://www.sonpo.or.jp/archive/statistics/syumoku/pdf/index/syumoku_songairitu.pdf (2013). Accessed 22 Feb 2014
The General Insurance Association of Japan: General Insurance in Japan fact book 2012–2013. http://www.sonpo.or.jp/en/publication/pdf/fb2013e.pdf (2013). Accessed 22 Feb 2014
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Kondo, H., Saito, S. (2014). Applicability of Bayesian Methods for Loss Ratio Estimation. In: Wakayama, M., et al. The Impact of Applications on Mathematics. Mathematics for Industry, vol 1. Springer, Tokyo. https://doi.org/10.1007/978-4-431-54907-9_22
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DOI: https://doi.org/10.1007/978-4-431-54907-9_22
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Publisher Name: Springer, Tokyo
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Online ISBN: 978-4-431-54907-9
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