Fat-Tailed Regression Modeling with Spliced Distributions

DOI10.1080/10920277.2018.1462718zbMath1417.62299OpenAlexW2901162206WikidataQ128940096 ScholiaQ128940096MaRDI QIDQ4633996

Guojun Gan, Emiliano A. Valdez

Publication date: 7 May 2019

Published in: North American Actuarial Journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/10920277.2018.1462718

zbMATH Keywords

prediction accuracyinsurance claimfat-tailed regressionspliced distributionspliced regression model

Mathematics Subject Classification ID

Related Items (6)

Soft splicing model: bridging the gap between composite model and finite mixture model ⋮ Deep quantile and deep composite triplet regression ⋮ Modeling frequency and severity of claims with the zero-inflated generalized cluster-weighted models ⋮ A New Class of Severity Regression Models with an Application to IBNR Prediction ⋮ A NEW MODEL FOR DATA WITH STRUCTURAL CHANGE AT THRESHOLD: COMPOSITE EXPONENTIAL-LOGNORMAL MODEL ⋮ On the composite Lognormal–Pareto distribution with uncertain threshold

Uses Software

• ismev
• CompLognormal

Cites Work

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