Transformation kernel density estimation of actuarial loss functions

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RECERCAT Home > Universitat de Barcelona > Econometria, Estadística i Economia Aplicada > Documents de treball / Informes (Econometria, Estadística i Economia Aplicada) > View document

To access the full text documents, please follow this link: http://hdl.handle.net/2445/34398

dc.contributor	Universitat de Barcelona
dc.contributor.author	Bolancé Losilla, Catalina
dc.contributor.author	Guillén, Montserrat
dc.contributor.author	Nielsen, Jens Perch
dc.date	2013-04-02T10:48:19Z
dc.date	2013-04-02T10:48:19Z
dc.date	2009
dc.date	2013-04-02T10:48:19Z
dc.identifier.citation	1136-8365
dc.identifier.uri	http://hdl.handle.net/2445/34398
dc.format	18 p.
dc.format	application/pdf
dc.language.iso	eng
dc.publisher	Universitat de Barcelona. Facultat d'Economia i Empresa
dc.relation	Reproducció del document publicat a: http://www.ere.ub.es/dtreball/E09219.rdf/view
dc.relation	Documents de treball (Facultat d'Economia i Empresa. Espai de Recerca en Economia), 2009, E09/219
dc.relation	[WP E-Eco09/219]
dc.rights	cc-by-nc-nd, (c) Bolancé Losilla et al., 2009
dc.rights	info:eu-repo/semantics/openAccess
dc.rights	http://creativecommons.org/licenses/by-nc-nd/3.0/
dc.subject	Econometria
dc.subject	Geometria algebraica
dc.subject	Teoria d'operadors
dc.subject	Equacions diferencials
dc.subject	Algorismes
dc.subject	Teoria de mòduls
dc.subject	Econometrics
dc.subject	Algebraic geometry
dc.subject	Operator theory
dc.subject	Differencial equations
dc.subject	Algorithms
dc.subject	Moduli theory
dc.title	Transformation kernel density estimation of actuarial loss functions
dc.type	info:eu-repo/semantics/workingPaper
dc.description.abstract	[cat] Es presenta un estimador nucli transformat que és adequat per a distribucions de cua pesada. Utilitzant una transformació basada en la distribució de probabilitat Beta l’elecció del paràmetre de finestra és molt directa. Es presenta una aplicació a dades d’assegurances i es mostra com calcular el Valor en Risc.
dc.description.abstract	[eng] A transformation kernel density estimator that is suitable for heavy-tailed distributions is discussed. Using a truncated Beta transformation, the choice of the bandwidth parameter becomes straightforward. An application to insurance data and the calculation of the value-at-risk are presented.

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