Applicability of Bayesian Methods for Loss Ratio Estimation

Conference paper
Part of the Mathematics for Industry book series (MFI, volume 1)

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.

Keywords

Bayesian inference Parameter risk Model risk Loss ratio  Value-at-Risk 

References

  1. 1.
    Kondo, H., Saito, S.: Bayesian approach to measuring parameter and model risk in loss ratio estimation. J. Math. Ind. 4(B), 85–89 (2012)MathSciNetGoogle Scholar
  2. 2.
    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
  3. 3.
    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

Copyright information

© Springer Japan 2014

Authors and Affiliations

  1. 1.Graduate School of MathematicsKyushu UniversityFukuokaJapan
  2. 2.Faculty of Arts and ScienceKyushu UniversityFukuokaJapan

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