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North American Actuarial Journal Volume 17, 2013 - Issue 3
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Feature Articles

Model Selection and Averaging in Financial Risk Management

Brian M. Hartman Department of Mathematics, University of Connecticut, Storrs, Connecticut
&
Chris Groendyke Department of Mathematics, Robert Morris University, Moon Township, Pennsylvania
Pages 216-228 | Published online: 11 Sep 2013

Citations (11)

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Read on this site (3)

Jean-François Bégin. (2023) Ensemble Economic Scenario Generators: Unity Makes Strength. North American Actuarial Journal 27:3, pages 444-471.
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Brian Hartman, Chris Groendyke & David Engler. (2020) Bayesian multivariate regime-switching models and the impact of correlation structure misspecification in variable annuity pricing. Scandinavian Actuarial Journal 2020:2, pages 152-171.
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Adam W. Kolkiewicz & Fangyuan Sally Lin. (2017) Pricing Surrender Risk in Ratchet Equity-Index Annuities under Regime-Switching Lévy Processes. North American Actuarial Journal 21:3, pages 433-457.
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Articles from other publishers (8)

Jean-François Bégin. (2019) ECONOMIC SCENARIO GENERATOR AND PARAMETER UNCERTAINTY: A BAYESIAN APPROACH. ASTIN Bulletin 49:2, pages 335-372.
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Shujuan Huang, Brian Hartman & Vytaras Brazauskas. (2016) MODEL SELECTION AND AVERAGING OF HEALTH COSTS IN EPISODE TREATMENT GROUPS. ASTIN Bulletin 47:1, pages 153-167.
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Byoung Hark Yoo, Bangwon Ko & Hyuk-Sung Kwon. (2016) On the Bayesian Risk Evaluation of Minimum Guarantees in Variable Annuities. Asia-Pacific Journal of Risk and Insurance 10:1, pages 21-43.
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Guojun Gan & X. Sheldon Lin. (2015) Valuation of large variable annuity portfolios under nested simulation: A functional data approach. Insurance: Mathematics and Economics 62, pages 138-150.
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Christian Biener, Martin Eling & Shailee Pradhan. (2015) Recent Research Developments Affecting Nonlife Insurance-The CAS Risk Premium Project 2013 Update. Risk Management and Insurance Review 18:1, pages 129-141.
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Liang Hong & Ryan Martin. (2016) On Prediction of Future Insurance Claims When the Model Is Uncertain. SSRN Electronic Journal.
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Shujuan Huang, Brian M. Hartman & Vytaras Brazauskas. (2015) Model Selection and Averaging of Health Costs in Episode Treatment Groups. SSRN Electronic Journal.
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Guojun Gan & X. Sheldon Lin. (2013) Valuation of Large Variable Annuity Portfolios Under Nested Simulations: A Functional Data Approach. SSRN Electronic Journal.
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