Compound unimodal distributions for insurance losses
From MaRDI portal
Publication:1667415
DOI10.1016/j.insmatheco.2017.10.007zbMath1416.91217OpenAlexW2766093083MaRDI QIDQ1667415
Antonio Punzo, Antonello Maruotti, Luca Bagnato
Publication date: 28 August 2018
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.insmatheco.2017.10.007
Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistics of extreme values; tail inference (62G32) Probability distributions: general theory (60E05)
Related Items
Fitting insurance and economic data with outliers: a flexible approach based on finite mixtures of contaminated gamma distributions, A family of density-hazard distributions for insurance losses, Hidden semi-Markov-switching quantile regression for time series, Modeling the cryptocurrency return distribution via Laplace scale mixtures, Modeling right-skewed financial data streams: a likelihood inference based on the generalized Birnbaum-Saunders mixture model, The arcsine exponentiated-\(X\) family: validation and insurance application, From grouped to de-grouped data: a new approach in distribution fitting for grouped data, Asymmetric clusters and outliers: mixtures of multivariate contaminated shifted asymmetric Laplace distributions, Cluster Weighted Beta Regression: A Simulation Study, ROBUST ESTIMATION OF LOSS MODELS FOR LOGNORMAL INSURANCE PAYMENT SEVERITY DATA, On generalized log-Moyal distribution: a new heavy tailed size distribution, GENERALIZING THE LOG-MOYAL DISTRIBUTION AND REGRESSION MODELS FOR HEAVY-TAILED LOSS DATA, A new lifetime exponential-\(X\) family of distributions with applications to reliability data, Extending composite loss models using a general framework of advanced computational tools, The exponential T-X family of distributions: properties and an application to insurance data, Mixtures of multivariate contaminated normal regression models, Dichotomous unimodal compound models: application to the distribution of insurance losses, A new family of heavy tailed distributions with an application to the heavy tailed insurance loss data, Using Model Averaging to Determine Suitable Risk Measure Estimates
Uses Software
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Compounding of distributions: a survey and new generalized classes
- Bivariate discrete beta kernel graduation of mortality data
- Estimating the dimension of a model
- Kernel density estimation of actuarial loss functions
- Finite mixtures of unimodal beta and gamma densities and the \(k\)-bumps algorithm
- Modeling loss data using composite models
- Heavy-tailed distributions and robustness in economics and finance
- A new class of models for heavy tailed distributions in finance and insurance risk
- Skew mixture models for loss distributions: a Bayesian approach
- Multivariate skew-normal distributions with applications in insurance
- Fitting asset returns to skewed distributions: are the skew-normal and skew-Student good models?
- Notes on discrete compound Poisson model with applications to risk theory
- Skewed bivariate models and nonparametric estimation for the CTE risk measure
- The EM Algorithm and Related Statistical Models
- New composite models for the Danish fire insurance data
- Numerical Maximisation of Likelihood: A Neglected Alternative to EM?
- Modeling with Weibull-Pareto Models
- Regression Modeling with Actuarial and Financial Applications
- Density approximations and VaR computation for compound Poisson-lognormal distributions
- Modeling Severity and Measuring Tail Risk of Norwegian Fire Claims
- Modeling actuarial data with a composite lognormal-Pareto model
- Understanding Relationships Using Copulas
- Probability density function estimation using gamma kernels
- A new look at the statistical model identification