Perch Nielsen, Jens - Search Results - UAB Digital Repository of Documents

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22 p, 227.7 KB

A nonparametric visual test of mixed hazard models / Spreeuw, Jaap (City University London. Faculty of Actuarial Science and Insurance, Cass Business School) ; Perch Nielsen, Jens (City University London. Faculty of Actuarial Science and Insurance, Cass Business School) ; Fiig Jarner, Søren (Danish Labour Market Supplementary Pension Fund)
We consider mixed hazard models and introduce a new visual inspection technique capable of detecting the credibility of our model assumptions. Our technique is based on a transformed data approach, where the density of the transformed data should be close to the uniform distribution when our model assumptions are correct. [...]
2013
SORT : statistics and operations research transactions, Vol. 37, Núm. 2 (July-December 2013) , p. 153-174

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24 p, 224.6 KB

Statistical modelling and forecasting of outstanding liabilities in non-life insurance / Martínez-Miranda, María Dolores (Universidad de Granada. Departamento de Estadística e Investigación Operativa) ; Perch Nielsen, Jens (City University (London). Cass Business School) ; Wüthrich, Mario V. (ETH Zurich, RiskLab. Department of Mathematics)
Non-life insurance companies need to build reserves to meet their claims liability cash flows. They often work with aggregated data. Recently it has been suggested that better statistical properties can be obtained when more aggregated data are available for statistical analysis than just the classical aggregated payments. [...]
2012
SORT : statistics and operations research transactions, Vol. 36, Núm. 2 (juliol-desembre 2012) , p. 195-218

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