In this paper, a nonparametric Bayesian approach to the estimation of the adjustment coefficient for the distribution of the maximum of a random walk is performed. Approximations of the posterior distribution of the adjustment coefficient are studied. The consistency and asymptotic normality of its posterior law are also proved under mild conditions. Finally, an application to real data is provided.
Capitanio, A., Conti, P.L. (2004). A Bayesian nonparametric approach to the estimation of the adjustment coefficient, with applications to insurance and telecommunications. SANKHYA, 66, 75-108.
A Bayesian nonparametric approach to the estimation of the adjustment coefficient, with applications to insurance and telecommunications
CAPITANIO, ANTONELLA;CONTI, PIER LUIGI
2004
Abstract
In this paper, a nonparametric Bayesian approach to the estimation of the adjustment coefficient for the distribution of the maximum of a random walk is performed. Approximations of the posterior distribution of the adjustment coefficient are studied. The consistency and asymptotic normality of its posterior law are also proved under mild conditions. Finally, an application to real data is provided.File in questo prodotto:
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