Zobrazeno 1 - 10
of 13
pro vyhledávání: '"MUNIR HIABU"'
Autor:
MUNIR HIABU, MARÍA DOLORES MARTÍNEZ-MIRANDA, JENS PERCH NIELSEN, JAAP SPREEUW, CARSTEN TANGGAARD, ANDRÉS M. VILLEGAS
Publikováno v:
Revista Colombiana de Estadística, Vol 38, Iss 2, Pp 399-411
This paper introduces a new bias reducing method for kernel hazard estimation. The method is called global polynomial adjustment (GPA). It is a global correction which is applicable to any kernel hazard estimator. The estimator works well from a theo
Externí odkaz:
https://doaj.org/article/ddb400a6673f41669d3c00a281418630
Publikováno v:
Insurance: Mathematics and Economics. 92:90-103
When long-term savers plan for retirement they need to know their investment prospects in terms of real income (Merton, 2014). While inflation has traditionally been considered as a complication in financial analysis and financial practise, we obtain
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::9384e85c51ff5314b6e2c803247788fe
https://doi.org/10.1016/j.insmatheco.2020.03.002
https://doi.org/10.1016/j.insmatheco.2020.03.002
Publikováno v:
Computational Statistics & Data Analysis. 137:133-154
In-sample forecasting is a recent continuous modification of well-known forecasting methods based on aggregated data. These aggregated methods are known as age-cohort methods in demography, economics, epidemiology and sociology and as chain ladder in
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::ac6c23fb2fe05c69b8550bfc1221a42f
https://doi.org/10.1016/j.csda.2019.02.009
https://doi.org/10.1016/j.csda.2019.02.009
Publikováno v:
Biometrika
Hiabu, M, Nielsen, J P & Scheike, T H 2021, ' Nonsmooth backfitting for the excess risk additive regression model with two survival time scales ', Biometrika, vol. 108, no. 2, pp. 491-506 . https://doi.org/10.1093/biomet/asaa058
Hiabu, M, Nielsen, J P & Scheike, T H 2021, ' Nonsmooth backfitting for the excess risk additive regression model with two survival time scales ', Biometrika, vol. 108, no. 2, pp. 491-506 . https://doi.org/10.1093/biomet/asaa058
Summary We consider an extension of Aalen’s additive regression model that allows covariates to have effects that vary on two different time scales. The two time scales considered are equal up to a constant for each individual and vary across indiv
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::d9aa3f19465629c3dbec71a6936112d5
https://openaccess.city.ac.uk/id/eprint/24234/1/Biometrika-2020-Jens-Perch-Nielsen.pdf
https://openaccess.city.ac.uk/id/eprint/24234/1/Biometrika-2020-Jens-Perch-Nielsen.pdf
The paper shows how to reform the platform of pension products so that pension savers, professional financial advisors, actuaries and investment experts intuitively understand the underlying financial risk of the optimal investment profile. It is als
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::360b0b8176e79b45fd58e7f5bfda449b
https://openaccess.city.ac.uk/id/eprint/20994/1/ManuscriptCRO.pdf
https://openaccess.city.ac.uk/id/eprint/20994/1/ManuscriptCRO.pdf
We introduce a continuous-time framework for the prediction of outstanding liabilities, in which chain-ladder development factors arise as a histogram estimator of a cost-weighted hazard function running in reversed development time. We use this form
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::f55beb8ef47c8c6ab17fa28c2da6d69f
http://arxiv.org/abs/1904.01199
http://arxiv.org/abs/1904.01199
Publikováno v:
British Actuarial Journal. 23
This abstract relates to the following paper: Gerrard, R., Hiabu, M., Kyriakou, I. and Nielsen, J. P. (2018) Self-selection and risk sharing in a modern world of life-long annuities. British Actuarial Journal. Cambridge University Press, 23. doi: 10.
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::194d75edb02100c128df59d3a398b6ae
https://doi.org/10.1017/s1357321718000272
https://doi.org/10.1017/s1357321718000272
Publikováno v:
British Actuarial Journal. 23
Communicating a pension product well is as important as optimising the financial value. In a recent study, we showed that up to 80% of the value of a pension lump sum could be lost if customer communication failed. In this paper, we extend the simple
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::2b9ed47b3560c790808f4e33ded8aa94
https://doi.org/10.1017/s135732171800020x
https://doi.org/10.1017/s135732171800020x
Autor:
Andrés M. Villegas, Jens Perch Nielsen, Munir Hiabu, Carsten Tanggaard, Jaap Spreeuw, María Dolores Martínez-Miranda
Publikováno v:
Revista Colombiana de Estadística, Vol 38, Iss 2, Pp 399-411
Revista Colombiana de Estadística
Repositorio UN
Universidad Nacional de Colombia
instacron:Universidad Nacional de Colombia
Revista Colombiana de Estadística
Repositorio UN
Universidad Nacional de Colombia
instacron:Universidad Nacional de Colombia
This paper introduces a new bias reducing method for kernel hazard estimation. The method is called global polynomial adjustment (GPA). It is a global correction which is applicable to any kernel hazard estimator. The estimator works well from a theo
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::6de09d35111338d2291f3245ee9d7671
https://doi.org/10.15446/rce.v38n2.51668
https://doi.org/10.15446/rce.v38n2.51668
Autor:
Munir Hiabu
We connect classical chain ladder to the continuous chain ladder model of Martinez-Miranda et al. (2013). This is done by defining explicitly how the classical run-off triangles are generated from iid observations in continuous time. One important re
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::0907369c1c229c608fc4308fb8fcd50e
https://openaccess.city.ac.uk/id/eprint/16953/1/dh.pdf
https://openaccess.city.ac.uk/id/eprint/16953/1/dh.pdf