EFFICIENT ESTIMATION OF ERLANG MIXTURES USING iSCAD PENALTY WITH INSURANCE APPLICATION

DOI10.1017/ASB.2016.14zbMath1390.62030OpenAlexW2360821598MaRDI QIDQ4563784

Cuihong Yin, X. Sheldon Lin

Publication date: 4 June 2018

Published in: ASTIN Bulletin (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1017/asb.2016.14

zbMATH Keywords

EM algorithmTVaRVaRErlang mixtureiSCAD penalty

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Related Items (9)

Fitting the Erlang mixture model to data via a GEM-CMM algorithm ⋮ Gamma mixture density networks and their application to modelling insurance claim amounts ⋮ Loss amount prediction from textual data using a double GLM with shrinkage and selection ⋮ Fitting multivariate Erlang mixtures to data: a roughness penalty approach ⋮ On the consistency of penalized MLEs for Erlang mixtures ⋮ Fat-Tailed Regression Modeling with Spliced Distributions ⋮ Loss modeling with the size-biased lognormal mixture and the entropy regularized EM algorithm ⋮ A CLASS OF MIXTURE OF EXPERTS MODELS FOR GENERAL INSURANCE: APPLICATION TO CORRELATED CLAIM FREQUENCIES ⋮ A non-convex regularization approach for stable estimation of loss development factors

Uses Software

• MCQueue

Cites Work

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