AN EM ALGORITHM FOR FITTING A NEW CLASS OF MIXED EXPONENTIAL REGRESSION MODELS WITH VARYING DISPERSION

DOI10.1017/asb.2020.13zbMath1447.91149OpenAlexW3016175469WikidataQ115563888 ScholiaQ115563888MaRDI QIDQ5119568

Dimitris Karlis, G. Tzougas

Publication date: 31 August 2020

Published in: ASTIN Bulletin (Search for Journal in Brave)

Full work available at URL: http://eprints.lse.ac.uk/104027/1/An_EM_Algorithm_for_Fitting_a_New_Class_of_Mixed_Exponential_Regression_Models_with_Varying_Dispersion.pdf

zbMATH Keywords

parametersEM algorithmnon-life insurancemixed exponential distributionsheavy-tailed lossesregression models for the mean and dispersion

Mathematics Subject Classification ID

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

Related Items (5)

Earthquake parametric insurance with Bayesian spatial quantile regression ⋮ Gamma mixture density networks and their application to modelling insurance claim amounts ⋮ Dispersion modelling of outstanding claims with double Poisson regression models ⋮ Loss amount prediction from textual data using a double GLM with shrinkage and selection ⋮ Bivariate Mixed Poisson Regression Models with Varying Dispersion

Uses Software

• GAMLSS

Cites Work

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