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Actuarial Mathematics and Risk Management
, 2023 Reprint of a Special Issue of Risks.
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Bayesian models in actuarial mathematics
Mathematical Methods of Operations Research, 1998The paper provides a unifying survey of Bayesian models in different areas of actuarial mathematics. Bayesian models are discussed with regard to claim number processes, experience rating, and experience reserving. The asymptotic properties of the Bayes and credibility premiums and their losses are studied.
Klaus D Schmidt, Schmidt Klaus D
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An Actuarial Mathematics Approach to Option Pricing
SSRN Electronic Journal, 2017 We derive and test a new option pricing method based on statistics. We show how such a method allows to a) analytically price options with risk measures - such as Value-at-Risk or Expected Shortfall - on assets with stochastic volatility; and b) build several new structural models for the credit spread.
Fratini, Filippo
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