A Bayesian Nonparametric Approach to the Estimation of the Adjustment Coefficient, with Applications to Insurance and Telecommunications

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...

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Bibliographische Detailangaben

Veröffentlicht in:	Sankhyā: The Indian Journal of Statistics (2003-2007). - Indian Statistical Institute, 1933. - 66(2004), 1, Seite 75-108
1. Verfasser:	Capitanio, Antonella (VerfasserIn)
Weitere Verfasser:	Conti, Pier Luigi
Format:	Online-Aufsatz
Sprache:	English
Veröffentlicht:	2004
Zugriff auf das übergeordnete Werk:	Sankhyā: The Indian Journal of Statistics (2003-2007)
Schlagworte:	Primary 62G99 Primary 62F15 Primary 62G09 Primary 62E20 Secondary 62P30 Secondary 62P05 Bootstrap Asymptotics Consistency Bernstein-von Mises theorem mehr... Adjustment coefficient Queues Risk theory Philosophy Mathematics Economics Applied sciences