Modeling loss data using mixtures of distributions

DOI10.1016/j.insmatheco.2016.06.019zbMath1373.62527OpenAlexW2495882236WikidataQ55861407 ScholiaQ55861407MaRDI QIDQ2520467

Tatjana Miljkovic, Bettina Grün

Publication date: 13 December 2016

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

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2016.06.019

zbMATH Keywords

EM algorithmrisk measuresmixturesnon-Gaussian distributionsDanish Fire insurance losses

Mathematics Subject Classification ID

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Uses Software

• R
• flexmix
• evir
• SMPracticals

Cites Work

• Estimating the dimension of a model
• Bayesian model averaging: A tutorial. (with comments and a rejoinder).
• Modeling loss data using composite models
• Multivariate mixtures of Erlangs for density estimation under censoring
• Composite Lognormal–Pareto model with random threshold
• Model-Based Clustering, Discriminant Analysis, and Density Estimation
• FITTING MIXTURES OF ERLANGS TO CENSORED AND TRUNCATED DATA USING THE EM ALGORITHM
• New composite models for the Danish fire insurance data
• Toward a Unified Approach to Fitting Loss Models
• Modeling with Weibull-Pareto Models
• Modeling actuarial data with a composite lognormal-Pareto model
• On composite lognormal-Pareto models
• A new look at the statistical model identification
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