Burr regression and portfolio segmentation

DOI10.1016/S0167-6687(98)00045-6zbMATH Open0952.62092OpenAlexW2024477627MaRDI QIDQ1282142FDOQ1282142

Authors: J. Beirlant, Yuri Goegebeur, Robert Verlaak, Petra Vynckier 

Publication date: 28 March 1999

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

Full work available at URL: https://doi.org/10.1016/s0167-6687(98)00045-6

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zbMATH Keywords

regression modelsBurr distributionfire insurancerisk tarification

Mathematics Subject Classification ID

Linear regression; mixed models (62J05) Generalized linear models (logistic models) (62J12) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Cites Work

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• The asymptotic properties of ML estimators when sampling from associated populations
• Asymptotic Properties of Maximum Likelihood Estimators for the Independent Not Identically Distributed Case
• Cumulative Frequency Functions
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• A guide to the Burr type XII distributions
• Tail Index Estimation, Pareto Quantile Plots, and Regression Diagnostics
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Cited In (20)

• Kernel estimators for the second order parameter in extreme value statistics
• A note on the stochastic EM algorithm based on left truncated right censored data from Burr XII distribution
• Bayesian modelling of the time delay between diagnosis and settlement for critical illness insurance using a Burr generalised-linear-type model
• Regression with response distributions of Pareto-type
• A new class of composite GBII regression models with varying threshold for modeling heavy-tailed data
• “Toward a Unified Approach to Fitting Loss Models”, Stuart Klugman and Jacques Rioux, January 2006
• On generalized log-Moyal distribution: a new heavy tailed size distribution
• Modelling losses using an exponential-inverse Gaussian distribution
• A generalized Burr mixture autoregressive models for modeling non linear time series
• Statistical concepts of \textit{a priori} and \textit{a posteriori} risk classification in insurance
• Generalizing the log-Moyal distribution and regression models for heavy-tailed loss data
• A bivariate model of claim frequencies and severities
• On the unit Burr-XII distribution with the quantile regression modeling and applications
• A new R package for actuarial survival models
• Estimation of the third-order parameter in extreme value statistics
• Heavy-tailed longitudinal data modeling using copulas
• Bayesian inference for double Pareto lognormal queues
• Severity modeling of extreme insurance claims for tariffication
• Closed-form maximum likelihood estimator for generalized linear models in the case of categorical explanatory variables: application to insurance loss modeling
• The exponentiated Fréchet regression: an alternative model for actuarial modelling purposes

Uses Software

• NAG
• nag

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