Modelling of the development of the selected indicators of the insurance market

Kód výsledku v IS VaVaI

<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216275%3A25410%2F11%3A39894562" target="_blank" >RIV/00216275:25410/11:39894562 - isvavai.cz</a>

Výsledek na webu

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DOI - Digital Object Identifier

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Jazyk výsledku

angličtina

Název v původním jazyce

Modelling of the development of the selected indicators of the insurance market

Popis výsledku v původním jazyce

The main limitation of many statistical methods consists in the fact that they usually require fulfilments of many different assumptions that cannot often be verified. This problem arises frequently at the time series, too. In this case it is helpful touse bootstrap methods. This paper deals with the application of the bias reduced bootstrap method to the Box-Jenkins methodology. Several methods of nonparametric bootstrap for a bias reduced estimate of the autoregressive parameters ? of AR(1) and AR(2)are presented in this paper: model oriented bootstrap, overlapping moving blocks and not-overlapping moving blocks. A comparison of the results of the classical and resampling methods is performed for the premium written time series.

Název v anglickém jazyce

Modelling of the development of the selected indicators of the insurance market

Popis výsledku anglicky

The main limitation of many statistical methods consists in the fact that they usually require fulfilments of many different assumptions that cannot often be verified. This problem arises frequently at the time series, too. In this case it is helpful touse bootstrap methods. This paper deals with the application of the bias reduced bootstrap method to the Box-Jenkins methodology. Several methods of nonparametric bootstrap for a bias reduced estimate of the autoregressive parameters ? of AR(1) and AR(2)are presented in this paper: model oriented bootstrap, overlapping moving blocks and not-overlapping moving blocks. A comparison of the results of the classical and resampling methods is performed for the premium written time series.

Druh

J_x - Nezařazeno - Článek v odborném periodiku (Jimp, Jsc a Jost)

CEP obor

BB - Aplikovaná statistika, operační výzkum

OECD FORD obor

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Projekt

<a href="/cs/project/GA402%2F09%2F1866" target="_blank" >GA402/09/1866: Modelování, simulace a řízení pojistných rizik</a><br>

Návaznosti

P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)

Rok uplatnění

2011

Kód důvěrnosti údajů

S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Název periodika

Calcutta Statistical Association bulletin

ISSN

0008-0683

e-ISSN

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Svazek periodika

63

Číslo periodika v rámci svazku

249

Stát vydavatele periodika

IN - Indická republika

Počet stran výsledku

15

Strana od-do

307-321

Kód UT WoS článku

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EID výsledku v databázi Scopus

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