Bayesian Inference Of The Weibull Pareto Distribution
Download Bayesian Inference Of The Weibull Pareto Distribution PDF/ePub or read online books in Mobi eBooks. Click Download or Read Online button to get Bayesian Inference Of The Weibull Pareto Distribution book now. This website allows unlimited access to, at the time of writing, more than 1.5 million titles, including hundreds of thousands of titles in various foreign languages.
Bayesian Inference of the Weibull-Pareto Distribution
Author's abstract: The Weibull distribution can be used to model data from many different subject areas such as survival analysis, reliability engineering, general insurance, electrical engineering, and industrial engineering. The Weibull distribution has been further extended by the Weibull-Pareto distribution. A desirable property of the Weibull-Pareto distribution is its ability to model skewed data. This is especially useful for developing models in human longevity and actuarial science. In this work a hierarchical Bayesian model was developed using the Weibull-Pareto distribution.
Modelling Operational Risk Using Bayesian Inference
Author: Pavel V. Shevchenko
language: en
Publisher: Springer Science & Business Media
Release Date: 2011-01-19
The management of operational risk in the banking industry has undergone explosive changes over the last decade due to substantial changes in the operational environment. Globalization, deregulation, the use of complex financial products, and changes in information technology have resulted in exposure to new risks which are very different from market and credit risks. In response, the Basel Committee on Banking Supervision has developed a new regulatory framework for capital measurement and standards for the banking sector. This has formally defined operational risk and introduced corresponding capital requirements. Many banks are undertaking quantitative modelling of operational risk using the Loss Distribution Approach (LDA) based on statistical quantification of the frequency and severity of operational risk losses. There are a number of unresolved methodological challenges in the LDA implementation. Overall, the area of quantitative operational risk is very new and different methods are under hot debate. This book is devoted to quantitative issues in LDA. In particular, the use of Bayesian inference is the main focus. Though it is very new in this area, the Bayesian approach is well suited for modelling operational risk, as it allows for a consistent and convenient statistical framework for quantifying the uncertainties involved. It also allows for the combination of expert opinion with historical internal and external data in estimation procedures. These are critical, especially for low-frequency/high-impact operational risks. This book is aimed at practitioners in risk management, academic researchers in financial mathematics, banking industry regulators and advanced graduate students in the area. It is a must-read for anyone who works, teaches or does research in the area of financial risk.
Bayesian Analysis in Statistics and Econometrics
This book is a definitive work that captures the current state of knowledge of Bayesian Analysis in Statistics and Econometrics and attempts to move it forward. It covers such topics as foundations, forecasting inferential matters, regression, computation and applications.