Maximum weighted likelihood estimator for robust heavy-tail modelling of finite mixture models
DOI10.1016/J.INSMATHECO.2022.08.008OpenAlexW3188846589WikidataQ114167192 ScholiaQ114167192MaRDI QIDQ2682986FDOQ2682986
Authors: T. C. Fung 
Publication date: 1 February 2023
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/2108.01356
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M-estimatorrandom truncationregularly varying functionmultimodal distributiongeneralized expectation-maximization algorithm
Actuarial mathematics (91G05) Statistics of extreme values; tail inference (62G32) Applications of statistics to actuarial sciences and financial mathematics (62P05)
Cites Work
- On modeling left-truncated loss data using mixtures of distributions
- Title not available (Why is that?)
- On composite lognormal-Pareto models
- Robust Statistics
- Modeling loss data using composite models
- Modeling loss data using mixtures of distributions
- Title not available (Why is that?)
- Fitting mixtures of Erlangs to censored and truncated data using the EM algorithm
- On robust tail index estimation
- Robust weighted likelihood estimators with an application to bivariate extreme value problems
- Mixture Models, Robustness, and the Weighted Likelihood Methodology
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- Adaptively truncated maximum likelihood regression with asymmetric errors.
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- Efficient and Robust Fitting of Lognormal Distributions
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- Modeling actuarial data with a composite lognormal-Pareto model
- Extreme Value Theory as a Risk Management Tool
- Favorable Estimators for Fitting Pareto Models: A Study Using Goodness-of-fit Measures with Actual Data
- EM algorithms for multivariate Gaussian mixture models with truncated and censored data
- Robust and efficient fitting of loss models
- Asymptotic properties of maximum weighted likelihood estimators.
- The weighted likelihood
- Selecting likelihood weights by cross-validation
- Robust Estimation: A Weighted Maximum Likelihood Approach
- Robust and efficient methods for credibility when claims are approximately gamma-distributed
- Fitting the Erlang mixture model to data via a GEM-CMM algorithm
- Robust fitting for generalized additive models for location, scale and shape
- Extending composite loss models using a general framework of advanced computational tools
- Robust and efficient fitting of severity models and the method of winsorized moments
- Truncated, censored, and actuarial payment-type moments for robust fitting of a single-parameter Pareto distribution
- Robust estimation of loss models for lognormal insurance payment severity data
- Fitting Censored and Truncated Regression Data Using the Mixture of Experts Models
Cited In (6)
- On the mixtures of length-biased Weibull distributions for loss severity modeling
- Generalized weighted likelihood density estimators with application to finite mixture of exponential family distributions
- Unsupervised mixture estimation via approximate maximum likelihood based on the Cramér-von Mises distance
- Estimating a tail of the mixture of log-normal and inverse Gaussian distribution
- Soft splicing model: bridging the gap between composite model and finite mixture model
- Method of Winsorized Moments for Robust Fitting of Truncated and Censored Lognormal Distributions
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