Blanchet, J.H., Lam, H., Tang, Q., & Yuan, Z. (2016). Applied Robust Performance Analysis for Actuarial Applications.
Abstract
This paper investigates techniques for the assessment of model error in the context of insurance risk analysis. The methodology is based on finding bounds for quantities of interest, such as loss probabilities and conditional value-at-risk, which are obtained by solving optimization problems where the variable to optimize is the model itself in a non-parametric framework. The non-parametric aspect of the approach is crucial for model error quantification.
Authors
Jose Blanchet, Henry Lam, Qihe Tang, Zhongyi Yuan
Publication date
2017/2/7
Journal
Technical Report, Society of Actuaries
