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

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...

Ausführliche Beschreibung

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
Beschreibung
Zusammenfassung: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.
ISSN:09727671