Modelling losses using an exponential-inverse Gaussian distribution

DOI10.1016/J.INSMATHECO.2004.04.005MaRDI QIDQ1888893zbMATH OpenOpenAlexFDO

Authors Dimitris Karlis, Nikos E. Frangos

Publication date 29 November 2004

Published in Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.insmatheco.2004.04.005

zbMATH Keywords

EM algorithmCar insuranceClaim size distributionMixed exponential distribution

Mathematics Subject Classification ID

Point estimation (62F10) Bayesian inference (62F15) Applications of statistics to actuarial sciences and financial mathematics (62P05)

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• A General Maximum Likelihood Analysis of Variance Components in Generalized Linear Models
• A Multivariate Survival Distribution Generated by an Inverse Gaussian Mixture of Exponentials
• An Actuarial Index of the Right-Tail Risk
• Burr regression and portfolio segmentation
• Design of Optimal Bonus-Malus Systems With a Frequency and a Severity Component On an Individual Basis in Automobile Insurance
• E-IG Model in Life Testing
• Empirical Estimation of Risk Measures and Related Quantities
• Exponential and scale mixtures and equilibrium distributions
• Exponential inverse Gaussian distribution
• Properties of an inverse Gaussian mixture of bivariate exponential distribution and its generalization
• Statistical properties of the generalized inverse Gaussian distribution
• Upper stop-loss bounds for sums of possibly dependent risks with given means and variances

Cited in

(9)

• A new look at the inverse Gaussian distribution with applications to insurance and economic data
• A class of claim distributions: Properties, characterizations and applications to insurance claim data
• Generalizing the log-Moyal distribution and regression models for heavy-tailed loss data
• An EM algorithm for fitting a new class of mixed exponential regression models with varying dispersion
• Gamma-generalized inverse Gaussian class of distributions with applications
• Estimating a tail of the mixture of log-normal and inverse Gaussian distribution
• Properties and applications of the Poisson-reciprocal inverse Gaussian distribution
• The exponentiated Fréchet regression: an alternative model for actuarial modelling purposes
• A class of improved estimators for the scale parameter of a mixture model of exponential distribution with unknown location

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