Application of Bayesian penalized spline regression for internal modeling in life insurance

Author:

Duong Quang DienORCID

Funder

ANRT

Publisher

Springer Science and Business Media LLC

Subject

Statistics, Probability and Uncertainty,Economics and Econometrics,Statistics and Probability

Reference44 articles.

1. Aerts M, Claeskens G, Wand MP (2002) Some theory for penalized spline generalized additive models. J Stat Plan Inference 103:455–470

2. Bauer D, Bergmann D, Reuss A (2009) Solvency II and nested simulations—a least square Monte Carlo approach. In: Proceedings of the 2010 ICA congress

3. Bauer D, Reuss A, Singer D (2012) On the calculation of the solvency capital requirement based on nested simulations. ASTIN Bull 42:453–499

4. Bengio Y, Grandvalet Y (2004) No unbiased estimator of the variance of k-fold cross-validation. J Mach Learn Res 5:1089–1105

5. Beutner E, Pelsser A, Schweizer J (1993) Theory and validation of replicating portfolios in insurance risk management. http://papers.ssrn.com/sol3/papers.cfm?abstract_id=2557368 . Accessed 20 June 2018

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