Zobrazeno 1 - 10
of 193
pro vyhledávání: '"Klaus D, Schmidt"'
Autor:
Alexander Schimmele, Klaus D. Schmidt
Publikováno v:
Scandinavian Actuarial Journal. :1-9
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::cb007435607bab604a5e89106a0383a4
https://doi.org/10.1080/03461238.2023.2169632
https://doi.org/10.1080/03461238.2023.2169632
Publikováno v:
Risks, Vol 5, Iss 4, p 59 (2017)
In the present paper, we study quantile risk measures and their domain. Our starting point is that, for a probability measure Q on the open unit interval and a wide class L Q of random variables, we define the quantile risk measure ϱ Q as the map th
Externí odkaz:
https://doaj.org/article/d559b872481c4f409941528c874982c4
Publikováno v:
Journal of Optimization Theory and Applications. 178:424-438
Kendall’s tau is one of the most popular measures of concordance, and even in the multivariate case exact upper and lower bounds of Kendall’s tau are known. The present paper provides characterizations of the copulas attaining the bounds of multi
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::2aaf044bfca86954625cfc2ce3414363
https://doi.org/10.1007/s10957-018-1285-6
https://doi.org/10.1007/s10957-018-1285-6
Publikováno v:
Scandinavian Actuarial Journal. 2018:529-544
This paper is inspired by two papers of Riegel who proposed to consider the paid and incurred loss development of the individual claims and to use a filter in order to separate small and large clai...
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::c9a200faa48f9356e158fd79c7d11290
https://doi.org/10.1080/03461238.2017.1394364
https://doi.org/10.1080/03461238.2017.1394364
Autor:
Klaus D. Schmidt, Sebastian Fuchs
Publikováno v:
Statistics & Probability Letters. 169:108972
Using Kendall’s tau for copulas, we compare the degree of concordance of random variables with that of their order statistics. We prove a general inequality and show that this inequality is strict for every copula from the Frechet family which is d
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::90b877574237201dd77b1000c9ad6893
https://doi.org/10.1016/j.spl.2020.108972
https://doi.org/10.1016/j.spl.2020.108972
Publikováno v:
Statistics & Probability Letters. 117:165-172
We study the problem of how to transform a copula for the distribution function of an arbitrary random vector into a copula for the distribution function of its order statistic. We thus extend results of Navarro and Spizzichino (2010).
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::e37fd40626b212572f61207916f62008
https://doi.org/10.1016/j.spl.2016.05.020
https://doi.org/10.1016/j.spl.2016.05.020
Autor:
Sebastian Fuchs, Klaus D. Schmidt
Publikováno v:
Kybernetika. :109-125
The present paper introduces a group of transformations on the collection of all bivariate copulas. This group contains an involution which is particularly useful since it provides (1) a criterion under which a given symmetric copula can be transform
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::b48ef6ce4dda8b30bfc912ee587abe57
https://doi.org/10.14736/kyb-2014-1-0109
https://doi.org/10.14736/kyb-2014-1-0109
This handbook presents the basic aspects of actuarial loss reserving. Besides the traditional methods, it also includes a description of more recent ones and a discussion of certain problems occurring in actuarial practice, like inflation, scarce da
Autor:
Klaus D. Schmidt
Publikováno v:
EAA Series ISBN: 9783319300542
In this article we assume that the accounting years match the calendar years. For simplification we speak about years.
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::1ae08ff7816568bd3c898978373fb30d
https://doi.org/10.1007/978-3-319-30056-6_33
https://doi.org/10.1007/978-3-319-30056-6_33
Autor:
Klaus D. Schmidt
Publikováno v:
EAA Series ISBN: 9783319300542
Most models and methods of loss reserving are based on the assumptions that every claim is finally settled in either the accident year or one of n subsequent development years and that the development of the losses of a given accident year over the \
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::0c4f8c2c77bbf43841b63ad789531cc4
https://doi.org/10.1007/978-3-319-30056-6_13
https://doi.org/10.1007/978-3-319-30056-6_13