EFFICIENT ESTIMATION OF ERLANG MIXTURES USING iSCAD PENALTY WITH INSURANCE APPLICATION
From MaRDI portal
Publication:4563784
DOI10.1017/asb.2016.14zbMath1390.62030OpenAlexW2360821598MaRDI QIDQ4563784
Publication date: 4 June 2018
Published in: ASTIN Bulletin (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1017/asb.2016.14
Asymptotic properties of parametric estimators (62F12) Applications of statistics to actuarial sciences and financial mathematics (62P05)
Related Items
Fitting the Erlang mixture model to data via a GEM-CMM algorithm, Gamma mixture density networks and their application to modelling insurance claim amounts, Loss amount prediction from textual data using a double GLM with shrinkage and selection, Fitting multivariate Erlang mixtures to data: a roughness penalty approach, On the consistency of penalized MLEs for Erlang mixtures, Fat-Tailed Regression Modeling with Spliced Distributions, A CLASS OF MIXTURE OF EXPERTS MODELS FOR GENERAL INSURANCE: APPLICATION TO CORRELATED CLAIM FREQUENCIES, A non-convex regularization approach for stable estimation of loss development factors
Uses Software
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Hypothesis test for normal mixture models: the EM approach
- On the moments of the surplus process perturbed by diffusion.
- The moments of the time of ruin, the surplus before ruin, and the deficit at ruin
- Multivariate mixtures of Erlangs for density estimation under censoring
- Recursive methods for a multi-dimensional risk process with common shocks
- 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
- On finite-time ruin probabilities with reinsurance cycles influenced by large claims
- Variable Selection via Nonconcave Penalized Likelihood and its Oracle Properties
- 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
- Inference on the Order of a Normal Mixture
- A Statistical View of Some Chemometrics Regression Tools
- Statistics of Extremes
- A Reference Bayesian Test for Nested Hypotheses and its Relationship to the Schwarz Criterion
- On the Joint Distributions of the Time to Ruin, the Surplus Prior to Ruin, and the Deficit at Ruin in the Classical Risk Model
- Order Selection in Finite Mixture Models With a Nonsmooth Penalty
- Identifiability of Finite Mixtures
- On the Identifiability of Finite Mixtures
- Generalized Pareto Fit to the Society of Actuaries’ Large Claims Database
