ON THE IMPACT OF HIDDEN TRENDS FOR A COMPOUND POISSON MODEL WITH PARETO-TYPE CLAIMS

Peter Grandits (), Reinhold Kainhofer () and Grigory Temnov ()
Additional contact information
Peter Grandits: Financial and Actuarial Mathematics, Institute for Mathematical Methods in Economics, Vienna University of Technology, Wiedner Hauptstraße 8-10/105-1, A-1040 Vienna, Austria
Reinhold Kainhofer: Financial and Actuarial Mathematics, Institute for Mathematical Methods in Economics, Vienna University of Technology, Wiedner Hauptstraße 8-10/105-1, A-1040 Vienna, Austria
Grigory Temnov: Edgeworth Centre for Financial Mathematics, School of Mathematical Sciences, University College Cork, Ireland

International Journal of Theoretical and Applied Finance (IJTAF), 2010, vol. 13, issue 06, 959-978

Abstract: We consider a compound-Poisson model with Pareto-type claims. In contrast to the classical case, where the claims are assumed to be iid., we assume that scaling and location parameters of the Pareto distribution follow a certain trend. We investigate the impact of this trend on parameter estimation and on the VaR (Value-at-Risk), if one mis-specifies (or even neglects) this trend. In the first part we show a consistency result for the mis-specified model, in the second part the deviations of the true parameters from the ones obtained by applying an iid. procedure is measured. Finally we study the impact of the mis-specification on a typical risk measure like the VaR.

Keywords: ML estimation; consistency; pareto distribution; mis-specified models; trends (search for similar items in EconPapers)
Date: 2010
References: View complete reference list from CitEc
Citations:

Downloads: (external link)
http://www.worldscientific.com/doi/abs/10.1142/S0219024910006066
Access to full text is restricted to subscribers

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:wsi:ijtafx:v:13:y:2010:i:06:n:s0219024910006066

Ordering information: This journal article can be ordered from

DOI: 10.1142/S0219024910006066

Access Statistics for this article

International Journal of Theoretical and Applied Finance (IJTAF) is currently edited by L P Hughston

More articles in International Journal of Theoretical and Applied Finance (IJTAF) from World Scientific Publishing Co. Pte. Ltd.
Bibliographic data for series maintained by Tai Tone Lim ().