Search for Articles:
Title / Keyword
Author / Affiliation / Email
Journal
Article Type
 
 
Advanced Search
 
Section
Special Issue
Volume
Issue
Number
Page
 
3.1
2.2
Journals
Risks
Special Issues
Selected Papers from the 10th Tartu Conference on Multivariate Statistics
share announcement

Selected Papers from the 10th Tartu Conference on Multivariate Statistics

A special issue of Risks (ISSN 2227-9091).

Deadline for manuscript submissions: closed (31 January 2017) | Viewed by 13103

Special Issue Editor

Dr. Meelis Käärik

E-Mail Website
Guest Editor
Institute of Mathematics and Statistics, University of Tartu, Narva mnt 18, 51009 Tartu, Estonia
Interests: premium estimation and reserving in non-life insurance; approximation of distributions; skewed distributions

Special Issue Information

Dear Colleagues,

The 10th Tartu Conference on Multivariate Statistics will be held in Tartu, Estonia, from 28 June to 1 July, 2016. The conference series has a long tradition starting from 1977, and the anniversary conference covers a wide range of problems in modern multivariate statistics, including statistical learning, estimation and testing problems, multivariate mixed models, multivariate distributions, survey statistics, stochastic models in finance and insurance, experimental design and applications in different areas.

This Special Issue selects excellent insurance and finance related papers from the conference, including both theoretical development of methods and practical application of statistical tools to solve specific problems. We invite investigators to contribute original research articles, as well as review articles, to this Special Issue.

Assoc. Prof. Dr. Meelis Käärik
Guest Editor

Manuscript Submission Information

Manuscripts should be submitted online at www.mdpi.com by registering and logging in to this website. Once you are registered, click here to go to the submission form. Manuscripts can be submitted until the deadline. All submissions that pass pre-check are peer-reviewed. Accepted papers will be published continuously in the journal (as soon as accepted) and will be listed together on the special issue website. Research articles, review articles as well as short communications are invited. For planned papers, a title and short abstract (about 100 words) can be sent to the Editorial Office for announcement on this website.

Submitted manuscripts should not have been published previously, nor be under consideration for publication elsewhere (except conference proceedings papers). All manuscripts are thoroughly refereed through a single-blind peer-review process. A guide for authors and other relevant information for submission of manuscripts is available on the Instructions for Authors page. Risks is an international peer-reviewed open access monthly journal published by MDPI.

Please visit the Instructions for Authors page before submitting a manuscript. The Article Processing Charge (APC) for publication in this open access journal is 1800 CHF (Swiss Francs). Submitted papers should be well formatted and use good English. Authors may use MDPI's English editing service prior to publication or during author revisions.

 

Published Papers (3 papers)

Download All Papers
Order results
Result details
Show export options expand_more Show export options expand_less
Select all
Export citation of selected articles as:

Research

399 KiB  
Article
On Comparison of Stochastic Reserving Methods with Bootstrapping
by Liivika Tee, Meelis Käärik and Rauno Viin
Risks 2017, 5(1), 2; https://doi.org/10.3390/risks5010002 - 04 Jan 2017
Cited by 3 | Viewed by 5260
Abstract
We consider the well-known stochastic reserve estimation methods on the basis of generalized linear models, such as the (over-dispersed) Poisson model, the gamma model and the log-normal model. For the likely variability of the claims reserve, bootstrap method is considered. In the bootstrapping [...] Read more.
We consider the well-known stochastic reserve estimation methods on the basis of generalized linear models, such as the (over-dispersed) Poisson model, the gamma model and the log-normal model. For the likely variability of the claims reserve, bootstrap method is considered. In the bootstrapping framework, we discuss the choice of residuals, namely the Pearson residuals, the deviance residuals and the Anscombe residuals. In addition, several possible residual adjustments are discussed and compared in a case study. We carry out a practical implementation and comparison of methods using real-life insurance data to estimate reserves and their prediction errors. We propose to consider proper scoring rules for model validation, and the assessments will be drawn from an extensive case study. Full article
(This article belongs to the Special Issue Selected Papers from the 10th Tartu Conference on Multivariate Statistics)
662 KiB  
Article
Estimation of Star-Shaped Distributions
by Eckhard Liebscher and Wolf-Dieter Richter
Risks 2016, 4(4), 44; https://doi.org/10.3390/risks4040044 - 30 Nov 2016
Cited by 3 | Viewed by 3967
Abstract
Scatter plots of multivariate data sets motivate modeling of star-shaped distributions beyond elliptically contoured ones. We study properties of estimators for the density generator function, the star-generalized radius distribution and the density in a star-shaped distribution model. For the generator function and the [...] Read more.
Scatter plots of multivariate data sets motivate modeling of star-shaped distributions beyond elliptically contoured ones. We study properties of estimators for the density generator function, the star-generalized radius distribution and the density in a star-shaped distribution model. For the generator function and the star-generalized radius density, we consider a non-parametric kernel-type estimator. This estimator is combined with a parametric estimator for the contours which are assumed to follow a parametric model. Therefore, the semiparametric procedure features the flexibility of nonparametric estimators and the simple estimation and interpretation of parametric estimators. Alternatively, we consider pure parametric estimators for the density. For the semiparametric density estimator, we prove rates of uniform, almost sure convergence which coincide with the corresponding rates of one-dimensional kernel density estimators when excluding the center of the distribution. We show that the standardized density estimator is asymptotically normally distributed. Moreover, the almost sure convergence rate of the estimated distribution function of the star-generalized radius is derived. A particular new two-dimensional distribution class is adapted here to agricultural and financial data sets. Full article
(This article belongs to the Special Issue Selected Papers from the 10th Tartu Conference on Multivariate Statistics)
►▼ Show Figures

Figure 1

405 KiB  
Article
Parameter Estimation in Stable Law
by Annika Krutto
Risks 2016, 4(4), 43; https://doi.org/10.3390/risks4040043 - 25 Nov 2016
Cited by 5 | Viewed by 3423
Abstract
For general stable distribution, cumulant function based parameter estimators are proposed. Extensive simulation experiments are carried out to validate the effectiveness of the estimates over the entire parameter space. An application to non-life insurance losses distribution is made. Full article
(This article belongs to the Special Issue Selected Papers from the 10th Tartu Conference on Multivariate Statistics)
►▼ Show Figures

Figure 1

Show export options expand_more Show export options expand_less
Select all
Export citation of selected articles as:
 
Displaying articles 1-3
Back to TopTop