Focussed selection of the claim severity distribution

DOI10.1080/03461238.2018.1519847MaRDI QIDQ5743534zbMATH OpenOpenAlexFDO

Authors Yinzhi Wang, Ingrid Hobæk Haff

Publication date 10 May 2019

Published in Scandinavian Actuarial Journal (Search for Journal in Brave)

Full work available at URL http://hdl.handle.net/10852/70811

zbMATH Keywords

loss distributionsmodel selectionrisk measures

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05)

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Cites work

• Focused Information Criteria and Model Averaging for the Cox Hazard Regression Model
• Loss models. From data to decisions
• Model Selection and Model Averaging
• Modeling loss data using composite models
• Modeling severity and measuring tail risk of Norwegian fire claims
• Modelling censored losses using splicing: a global fit strategy with mixed Erlang and extreme value distributions
• Parametric or nonparametric: the FIC approach
• Statistical Size Distributions in Economics and Actuarial Sciences
• The Focused Information Criterion

Cited in

(2)

• Ruin under light-tailed or moderately heavy-tailed insurance risks interplayed with financial risks
• Accurate bias estimation with applications to focused model selection

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