Zobrazeno 1 - 10
of 10
pro vyhledávání: '"Jochen Heberle"'
Autor:
Jochen Heberle, Cristina Sattarhoff
Publikováno v:
Econometrics, Vol 5, Iss 1, p 9 (2017)
This paper considers the algorithmic implementation of the heteroskedasticity and autocorrelation consistent (HAC) estimation problem for covariance matrices of parameter estimators. We introduce a new algorithm, mainly based on the fast Fourier tran
Externí odkaz:
https://doaj.org/article/7ee7808f1e344e4eaecae12aad56e79b
Autor:
Jochen Heberle, Anne Thomas
Publikováno v:
Annals of Actuarial Science. 10:303-321
This paper shows how the well-known Bornhuetter–Ferguson claims-reserving method can be extended by applying fuzzy methods. The a priori information for the ultimate claims derives from market statistics, organisational data, etc. and might contain
Autor:
Jochen Heberle, Tobias Gummersbach
Publikováno v:
Financial Statistical Journal. 1
In this paper we make an empirical analysis of a wide range of claims developmenttrapezoids following Benford’s law. In particular we determine Benfors’s law fordifferent characteristic factors depending on claims development triangles/trapezoids
Autor:
Jochen Heberle
Publikováno v:
Zeitschrift für die gesamte Versicherungswissenschaft. 104:39-55
One of the main tasks in non-life insurance is the prediction of outstanding loss liabilities for run-off portfolios. Additionally, the quantification of the prediction uncertainty is also of great interest. In this paper we look at this actuarial pr
Autor:
Jochen Heberle, Anne Thomas
Publikováno v:
IFSA/NAFIPS
In this paper we extend the classical chain-ladder claims reserving method using fuzzy methods. Therefore, we derive new estimators for the claims development factors as well as new predictors for the ultimate claims. The advantage in using fuzzy num
Publikováno v:
Zeitschrift für die gesamte Versicherungswissenschaft. 98:541-564
The prediction of the outstanding loss liabilities for a non-life run-off portfolio as well as the quantification of the prediction error is one of the most important actuarial tasks in non-life insurance. In this paper we consider this prediction pr
Publikováno v:
Zeitschrift für die gesamte Versicherungswissenschaft. 97:439-461
Wir zeigen in diesem Artikel, wie die beiden Schatzer fur das Abwicklungsergebnis und den Prognosefehler aus Merz u. Wuthrich (2007) auf den Fall N korrelierter Run-Off-Portfolios verallgemeinert werden konnen. Die simultane Betrachtung mehrerer korr
Autor:
Jochen Heberle, Tobias Gummersbach
Publikováno v:
SSRN Electronic Journal.
In this paper we make an empirical analysis of a wide range of claims development trapezoids following Benford's law. In particular we determine Benfors's law for different characteristic factors depending on claims development triangles/trapezoids.
Autor:
Tobias Gummersbach, Jochen Heberle
Publikováno v:
SSRN Electronic Journal.
In this paper we use a wide range of development trapezoids for an analysis of ultimate claims reserve. Thereby, the ultimate claims reserve will be calculated using the classical Chain-Ladder reserving method on the one side and, on the other side,
Publikováno v:
SSRN Electronic Journal.
In this paper we show how to quantify the uncertainty in the difference between the best estimate for the ultimate claim viewed at the beginning and at the end of one year. A second aspect in this paper is how bootstrapping techniques can be used to