Fitting mixtures of Erlangs to censored and truncated data using the EM algorithm
From MaRDI portal
Publication:4563757
DOI10.1017/ASB.2015.15zbMATH Open1390.62227OpenAlexW3123194690MaRDI QIDQ4563757FDOQ4563757
Authors: Roel Verbelen, Lan Gong, Katrien Antonio, Andrei Badescu, Sheldon Lin 
Publication date: 4 June 2018
Published in: ASTIN Bulletin (Search for Journal in Brave)
Full work available at URL: https://lirias.kuleuven.be/handle/123456789/501142
Recommendations
- Fitting the Erlang mixture model to data via a GEM-CMM algorithm
- Multivariate mixtures of Erlangs for density estimation under censoring
- Fitting Mixture Models to Grouped and Truncated Data via the EM Algorithm
- EM algorithms for multivariate Gaussian mixture models with truncated and censored data
- Using the EM algorithm for inference in a mixture of distributions with censored but partially identifiable data
censoringexpectation-maximization algorithmmaximum likelihoodtruncationmixture of Erlang distributions with a common scale parameter
Censored data models (62N01) Applications of statistics to actuarial sciences and financial mathematics (62P05)
Cites Work
- Power-law distributions in empirical data
- Estimating the dimension of a model
- Title not available (Why is that?)
- Title not available (Why is that?)
- A new look at the statistical model identification
- Nonparametric Estimation from Incomplete Observations
- Statistics of Extremes
- The EM Algorithm and Extensions, 2E
- Composite lognormal-Pareto model with random threshold
- Loss models. From data to decisions
- Title not available (Why is that?)
- Toward a unified approach to fitting loss models
- Microeconometrics
- Modeling dependent risks with multivariate Erlang mixtures
- On the class of Erlang mixtures with risk theoretic applications
- Micro-level stochastic loss reserving for general insurance
- Hierarchical insurance claims modeling
- EM algorithms for multivariate Gaussian mixture models with truncated and censored data
- Loss models. Further topics
- Quantitative Operational Risk Models
- Unemployment Insurance Rules, Joblessness, and Part-Time Work
- Fitting Mixture Models to Grouped and Truncated Data via the EM Algorithm
- Exact Kolmogorov-Type Tests for Left-Truncated and/or Right-Censored Data
- Modeling insurance claims via a mixture exponential model combined with peaks-over-threshold approach
- Distribution Results for Modified Kolmogorov-Smirnov Statistics for Truncated or Censored Samples
Cited In (40)
- Strong consistency of the MLE under two-parameter Gamma mixture models with a structural scale parameter
- Modeling frequency and severity of claims with the zero-inflated generalized cluster-weighted models
- On the consistency of penalized MLEs for Erlang mixtures
- Mixture modeling of data with multiple partial right-censoring levels
- Truncated, censored, and actuarial payment-type moments for robust fitting of a single-parameter Pareto distribution
- Modelling censored losses using splicing: a global fit strategy with mixed Erlang and extreme value distributions
- A stochastic EM algorithm for mixtures with censored data
- A new class of composite GBII regression models with varying threshold for modeling heavy-tailed data
- Loss modeling with the size-biased lognormal mixture and the entropy regularized EM algorithm
- Micro-level prediction of outstanding claim counts based on novel mixture models and neural networks
- Multivariate Cox hidden Markov models with an application to operational risk
- A New Class of Severity Regression Models with an Application to IBNR Prediction
- On generalized log-Moyal distribution: a new heavy tailed size distribution
- A class of mixture of experts models for general insurance: theoretical developments
- Fitting Censored and Truncated Regression Data Using the Mixture of Experts Models
- On the mixtures of length-biased Weibull distributions for loss severity modeling
- Ruin probabilities as functions of the roots of a polynomial
- Modeling loss data using mixtures of distributions
- Generalizing the log-Moyal distribution and regression models for heavy-tailed loss data
- On mixed Erlang reinsurance risk: aggregation, capital allocation and default risk
- Fitting the Erlang mixture model to data via a GEM-CMM algorithm
- Erlang mixture distribution with application on COVID-19 cases in Egypt
- A marked Cox model for the number of IBNR claims: estimation and application
- Efficient estimation of Erlang mixtures using iSCAD penalty with insurance application
- Using the EM algorithm for inference in a mixture of distributions with censored but partially identifiable data
- The Automated Bias-Corrected and Accelerated Bootstrap Confidence Intervals for Risk Measures
- Robust estimation of loss models for lognormal insurance payment severity data
- Ruin probability for finite Erlang mixture claims via recurrence sequences
- Loss modeling with many-parameter distributions
- Multivariate mixtures of Erlangs for density estimation under censoring
- On modeling left-truncated loss data using mixtures of distributions
- Fitting Mixture Models to Grouped and Truncated Data via the EM Algorithm
- Gamma mixture density networks and their application to modelling insurance claim amounts
- Minimum capital requirement and portfolio allocation for non-life insurance: a semiparametric model with conditional value-at-risk (CVaR) constraint
- Using model averaging to determine suitable risk measure estimates
- Maximum weighted likelihood estimator for robust heavy-tail modelling of finite mixture models
- A novel M-Lognormal–Burr regression model with varying threshold for modeling heavy-tailed claim severity data
- An efficient brute force approach to fit finite mixture distributions
- EM algorithms for multivariate Gaussian mixture models with truncated and censored data
- Some algorithms to fit some reliability mixture models under censoring
Uses Software
This page was built for publication: Fitting mixtures of Erlangs to censored and truncated data using the EM algorithm
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4563757)
