کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
5076337 | 1477207 | 2016 | 29 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Bayesian approaches for analyzing earthquake catastrophic risk
ترجمه فارسی عنوان
رویکردهای بیزی برای تحلیل زلزله خطر فاجعه بار
دانلود مقاله + سفارش ترجمه
دانلود مقاله ISI انگلیسی
رایگان برای ایرانیان
کلمات کلیدی
موضوعات مرتبط
مهندسی و علوم پایه
ریاضیات
آمار و احتمال
چکیده انگلیسی
Extreme value theory has been widely used in analyzing catastrophic risk. The theory mentioned that the generalized Pareto distribution (GPD) could be used to estimate the limiting distribution of the excess value over a certain threshold; thus the tail behaviors are analyzed. However, the central behavior is important because it may affect the estimation of model parameters in GPD, and the evaluation of catastrophic insurance premiums also depends on the central behavior. This paper proposes four mixture models to model earthquake catastrophic loss and proposes Bayesian approaches to estimate the unknown parameters and the threshold in these mixture models. MCMC methods are used to calculate the Bayesian estimates of model parameters, and deviance information criterion values are obtained for model comparison. The earthquake loss of Yunnan province is analyzed to illustrate the proposed methods. Results show that the estimation of the threshold and the shape and scale of GPD are quite different. Value-at-risk and expected shortfall for the proposed mixture models are calculated under different confidence levels.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Insurance: Mathematics and Economics - Volume 68, May 2016, Pages 110-119
Journal: Insurance: Mathematics and Economics - Volume 68, May 2016, Pages 110-119
نویسندگان
Yunxian Li, Niansheng Tang, Xuejun Jiang,