Verifying the predicted uncertainty of Bayesian estimators

2018 ◽  
Author(s):  
Clark N. Taylor ◽  
Shane Lubold
Keyword(s):  
Bayesian Estimators

Robust calibration of financial models using Bayesian estimators

2014 ◽  
Vol 17 (4) ◽  
pp. 3-36 ◽  
Author(s):  
Alok Gupta ◽  
Christoph Reisinger
Keyword(s):  
Financial Models ◽  
Bayesian Estimators

scholarly journals Population Pharmacokinetics and Bayesian Estimators for Refined Dose Adjustment of a New Tacrolimus Formulation in Kidney and Liver Transplant Patients

2017 ◽  
Vol 56 (12) ◽  
pp. 1491-1498 ◽  
Author(s):  
Jean-Baptiste Woillard ◽  
Jean Debord ◽  
Caroline Monchaud ◽  
Franck Saint-Marcoux ◽  
Pierre Marquet
Keyword(s):  
Liver Transplant ◽  
Population Pharmacokinetics ◽  
Dose Adjustment ◽  
Transplant Patients ◽  
Bayesian Estimators

scholarly journals The Bühlmann–Straub Estimation of Claim Means in Random B-F Reserve Model

2020 ◽  
Vol 2020 ◽  
pp. 1-11
Author(s):  
Zhang Yi ◽  
Wen Limin ◽  
Li Zhilong
Keyword(s):  
Prior Distribution ◽  
Personal Experience ◽  
Bayesian Method ◽  
Historical Data ◽  
Credibility Theory ◽  
Empirical Bayesian ◽  
Sample Distribution ◽  
Empirical Bayesian Method ◽  
Chain Ladder ◽  
Bayesian Estimators

In the B-F reserve model, it is a very critical step to estimate the claim means of the accident year. However, the traditional method uses the prior estimators of the claim means based on the personal experience of actuaries or historical data. This method inevitably carries the subjectivity of the actuary himself. In this paper, a stochastic B-F model is established, and a prior distribution is constructed for the claim means in the accident year. The idea of the credibility theory is used to derive the linear Bayesian estimators of claim means. Finally, the empirical Bayesian method is used to estimate the first two moments of the prior distribution, and the empirical Bayesian estimators of the claim means and the corresponding reserves are derived. The estimators obtained in this paper do not depend on the specific forms of the sample distribution and the prior distribution and can be used directly in practice. In the numerical simulation, our estimates are compared with the traditional B-F estimates and the chain ladder estimates. It is verified that the estimates given in this paper have small mean square error.

scholarly journals Optimal Bayesian estimators for latent variable cluster models

2017 ◽  
Vol 28 (6) ◽  
pp. 1169-1186 ◽  
Author(s):  
Riccardo Rastelli ◽  
Nial Friel
Keyword(s):  
Latent Variable ◽  
Cluster Models ◽  
Variable Cluster ◽  
Bayesian Estimators
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