Due to the COVID-19 Pandemic, the University has instruction to cancel all in-person events through the Spring semester to adhere to city and state orders limiting public gatherings. Events still running must now take place Online— listed events will include a link in which one may access the Online webspace:

To view Dr. Miljkovic’s talk, enter her Online chatroom via Microsoft Teams— it will open at 3:00pm on Friday, April 30th, 2021.

Using Model Averaging to Determine Suitable Risk Measure Estimates

Dr. Tatjana Miljkovic
Associate Professor of Mathematics
Miami University

“Recent research in loss modeling resulted in a growing number of classes of statistical models as well as additional models being proposed within each class. Empirical results indicate that a range of models within or between model classes perform similarly well, as measured by goodness-of-fit or information criteria when fitted to the same data set. This leads to model uncertainty and makes model selection a challenging task. We propose an approach to estimate risk measures that accounts for model selection uncertainty based on model averaging. We exemplify the application of this approach by considering a large class of 196 different left-truncated composite models. The resulting point estimates for the risk measures take the model uncertainty into account. A simulation study highlights the benefits of this approach. The data set on Norwegian Fire losses is used to illustrate the proposed methodology.”

*Click to view the event flyer.