Robust and Efficient Methods for Credibility When Claims Are Approximately Gamma-Distributed

DOI10.1080/10920277.2007.10597473zbMath1477.91045OpenAlexW2016783482MaRDI QIDQ5019753

Vytaras Brazauskas, Harald Dornheim

Publication date: 10 January 2022

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

Full work available at URL: https://doi.org/10.1080/10920277.2007.10597473

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Actuarial mathematics (91G05)

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Maximum weighted likelihood estimator for robust heavy-tail modelling of finite mixture models ⋮ ROBUST AND EFFICIENT FITTING OF SEVERITY MODELS AND THE METHOD OF WINSORIZED MOMENTS ⋮ Robust-efficient credibility models with heavy-tailed claims: a mixed linear models perspective ⋮ Robust fitting of claim severity distributions and the method of trimmed moments

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