Estimation of the lognormal-Pareto distribution using probability weighted moments and maximum likelihood

DOI10.1080/03610918.2013.837180MaRDI QIDQ5265822zbMATH OpenOpenAlexFDO

Authors Marco Bee

Publication date 29 July 2015

Published in Communications in Statistics. Simulation and Computation (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/03610918.2013.837180

zbMATH Keywords

lognormal-Pareto distributionloss modelsmixed estimation methodprobability weighted moments

Mathematics Subject Classification ID

Point estimation (62F10) Applications of statistics to actuarial sciences and financial mathematics (62P05)

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Cites work

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• Maximum likelihood estimation in a class of nonregular cases
• Mixture Densities, Maximum Likelihood and the EM Algorithm
• On composite lognormal-Pareto models
• Operational Risk
• The EM Algorithm and Extensions, 2E
• The pricing of options and corporate liabilities

Cited in

(11)

• Heavy tailed modeling of automobile claim data from Ghana
• On maximum likelihood estimation of a Pareto mixture
• A weighted estimation for risk model
• A global optimisation approach for parameter estimation of a mixture of double Pareto lognormal and lognormal distributions
• Ensemble two return levels of generalized Pareto and modified Champernowne distributions using linear regression
• Optimal estimation for the Pareto distribution
• On the composite Lognormal–Pareto distribution with uncertain threshold
• A Simple and Effective Inequality Measure
• Unsupervised mixture estimation via approximate maximum likelihood based on the Cramér-von Mises distance
• Information matrices for composite type distributions
• On a Bivariate Distribution with Composite Exponential-Pareto Marginals and Dependence in Low-Cost Claims

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Uses Software

• QRM

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