Fitting the Erlang mixture model to data via a GEM-CMM algorithm

DOI10.1016/j.cam.2018.04.032zbMath1503.62097OpenAlexW2807625977WikidataQ129871612 ScholiaQ129871612MaRDI QIDQ1643834

X. Sheldon Lin, Rongtan Huang, Wenyong Gui

Publication date: 20 June 2018

Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.cam.2018.04.032

zbMATH Keywords

local search methodgeneralized EM algorithmclusterized method of momentsErlang mixture modelinsurance loss data

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Point estimation (62F10) Censored data models (62N01) Actuarial mathematics (91G05)

Related Items (11)

Gamma mixture density networks and their application to modelling insurance claim amounts ⋮ The multivariate mixed negative binomial regression model with an application to insurance a posteriori ratemaking ⋮ Mixture Composite Regression Models with Multi-type Feature Selection ⋮ Maximum weighted likelihood estimator for robust heavy-tail modelling of finite mixture models ⋮ Mixture modeling of data with multiple partial right-censoring levels ⋮ Micro-level prediction of outstanding claim counts based on novel mixture models and neural networks ⋮ Fitting multivariate Erlang mixtures to data: a roughness penalty approach ⋮ A New Class of Severity Regression Models with an Application to IBNR Prediction ⋮ Multivariate Cox Hidden Markov models with an application to operational risk ⋮ A CLASS OF MIXTURE OF EXPERTS MODELS FOR GENERAL INSURANCE: APPLICATION TO CORRELATED CLAIM FREQUENCIES ⋮ Fitting Censored and Truncated Regression Data Using the Mixture of Experts Models

Uses Software

• PRMLT

Cites Work

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• Fitting and validation of a bivariate model for large claims
• Fitting bivariate loss distributions with copulas
• Multivariate mixtures of Erlangs for density estimation under censoring
• TVaR-based capital allocation for multivariate compound distributions with positive continuous claim amounts
• Multivariate distribution defined with Farlie-Gumbel-Morgenstern copula and mixed Erlang marginals: aggregation and capital allocation
• Modeling loss data using mixtures of distributions
• ON SOME PROPERTIES OF A CLASS OF MULTIVARIATE ERLANG MIXTURES WITH INSURANCE APPLICATIONS
• ON SARMANOV MIXED ERLANG RISKS IN INSURANCE APPLICATIONS
• FITTING MIXTURES OF ERLANGS TO CENSORED AND TRUNCATED DATA USING THE EM ALGORITHM
• EFFICIENT ESTIMATION OF ERLANG MIXTURES USING iSCAD PENALTY WITH INSURANCE APPLICATION
• Computational Statistics
• Toward a Unified Approach to Fitting Loss Models
• Understanding Relationships Using Copulas

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