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1
Ì d level of confidence 𝑝𝑝 is such that:
?
= 𝑓𝑓 𝑥𝑥dÑR |𝜃𝜃 ⋅ 𝜋𝜋 𝜃𝜃 ∣ 𝑥𝑥R , ⋯ , 𝑥𝑥d d𝜃𝜃 Continuous 𝑣𝑣 = 𝑋𝑋o≥ − 𝑋𝑋o
𝑟𝑟 𝑛𝑛 − 1 𝑧𝑧 RÑ_ ? 𝑉𝑉𝑉𝑉𝑉𝑉 𝐹𝐹 𝑥𝑥 ≤ 𝑘𝑘𝐹𝐹 𝑥𝑥 ,
oõR ≥õR
= 𝑓𝑓 𝑥𝑥dÑR |𝜃𝜃 ⋅ 𝜋𝜋 𝜃𝜃 ∣ 𝑥𝑥R , ⋯ , 𝑥𝑥d (Discrete) Ì
1 𝑣𝑣 𝐹𝐹 𝑥𝑥 1 − 𝐹𝐹 𝑥𝑥
™ 𝑎𝑎 = 𝑋𝑋o − 𝑋𝑋 ?
− where 𝑉𝑉𝑉𝑉𝑉𝑉 𝐹𝐹 𝑥𝑥 =
Bayesian credibility estimate of 𝑥𝑥dÑR 𝑟𝑟 − 1 𝑛𝑛 𝑛𝑛
oõR
= Mean of predictive distribution Non-uniform Exposures Applications
= E 𝑥𝑥dÑR 𝑥𝑥R , ⋯ , 𝑥𝑥d Ì dº
If 𝑦𝑦≥ = 𝑗𝑗 »… order statistic from the sample and 𝑘𝑘 =
oõR ≥õR 𝑚𝑚o≥ 𝑋𝑋o≥
𝜇𝜇 = 𝑋𝑋 = 𝑛𝑛𝑛𝑛 + 1, then:
Loss Functions 𝑚𝑚 d
Bayesian Ì dº ? oõ< 𝑦𝑦o
Type of Loss 𝒍𝒍(𝜽𝜽, 𝜽𝜽) oõR ≥õR 𝑚𝑚 o≥ 𝑋𝑋o≥ − 𝑋𝑋 o VaR _ 𝑋𝑋 = 𝑦𝑦< , TVaR _ 𝑋𝑋 =
Estimate, 𝜽𝜽 𝑣𝑣 = Ì 𝑛𝑛 − 𝑘𝑘 + 1
oõR 𝑛𝑛o − 1 ? ?
? Mean of Ì ? 𝑠𝑠_ + 𝑝𝑝 TVaR _ 𝑋𝑋 − VaR _ 𝑋𝑋
Squared-error 𝜃𝜃 − 𝜃𝜃 oõR 𝑚𝑚o 𝑋𝑋o − 𝑋𝑋 − 𝑣𝑣 𝑟𝑟 − 1 Var TVaR _ 𝑋𝑋 =
posterior 𝑎𝑎 = 𝑛𝑛 − 𝑘𝑘 + 1
Median of 𝑚𝑚 − 𝑚𝑚'R ÌoõR 𝑚𝑚o? d
𝜃𝜃 − 𝜃𝜃 1 ?
Absolute Note: If 𝑎𝑎 < 0, then set 𝑎𝑎 = 0 and 𝑍𝑍 = 0. where 𝑠𝑠_ ? = 𝑦𝑦o − TVaR _ 𝑋𝑋
posterior 𝑛𝑛 − 𝑘𝑘
1 if 𝜃𝜃 ≠ 𝜃𝜃 Mode of Empirical Bayes Semi-Parametric Methods
oõ<
Zero-one
0 if 𝜃𝜃 = 𝜃𝜃 posterior Estimating 𝜇𝜇 and 𝑣𝑣 Bootstrap Approximation
Model 𝜇𝜇 𝑣𝑣 𝜃𝜃: Parameter of distribution 𝐹𝐹
𝑋𝑋o ~Poisson 𝜆𝜆 𝑥𝑥 𝑥𝑥 𝑔𝑔: Estimator based on sample of size 𝑛𝑛
𝑋𝑋o ~Neg. Bin. 𝑟𝑟, 𝛽𝛽 𝑥𝑥 𝑥𝑥 1 + 𝛽𝛽 The bootstrap approximation of the mean square
𝑋𝑋o ~Gamma 𝛼𝛼, 𝜃𝜃 𝑥𝑥 𝑥𝑥𝜃𝜃 error of 𝑔𝑔 as an estimator of 𝜃𝜃 is:
MSEÚ 𝜃𝜃 = Eí 𝑔𝑔 − 𝜃𝜃 ?