38 citations · 104 across the 32 of their papers we have counts for
8 papers · 1 filter
Measures of predictive accuracy, miscalibration and discrimination
Łukasz Delong, Mario Wüthrich
We study the evaluation of real-valued point predictors under the decision-theoretic framework of mean-consistent loss functions given by the Bregman divergences. We first derive a…
State-Space Representation of INGARCH Models and Their Application in Insurance
Jae Youn Ahn, Hong Beng Lim, Mario V. Wüthrich
Integer-valued generalized autoregressive conditional heteroskedastic (INGARCH) models are a popular framework for modeling serial dependence in count time-series. While convenient…
An Observation-Driven State-Space Model for Claims Size Modeling
Jae Youn Ahn, Himchan Jeong, Mario V. Wüthrich
State-space models are popular models in econometrics. Recently, these models have gained some popularity in the actuarial literature. The best known state-space models are of Kalm…
Modeling lower-truncated and right-censored insurance claims with an extension of the MBBEFD class
Selim Gatti, Mario V. Wüthrich
In general insurance, claims are often lower-truncated and right-censored because insurance contracts may involve deductibles and maximal covers. Most classical statistical models…
A Classification of Observation-Driven State-Space Count Models for Panel Data
Jae Youn Ahn, Himchan Jeong, Yang Lu +1
State-space models are widely used in many applications. In the domain of count data, one such example is the model proposed by Harvey and Fernandes (1989). Unlike many of its para…
Isotonic Recalibration under a Low Signal-to-Noise Ratio
Mario V. Wüthrich, Johanna Ziegel
Insurance pricing systems should fulfill the auto-calibration property to ensure that there is no systematic cross-financing between different price cohorts. Often, regression mode…