Focussed selection of the claim severity distribution

DOI10.1080/03461238.2018.1519847zbMath1411.91321OpenAlexW2893173788MaRDI QIDQ5743534

Ingrid Hobæk Haff, Yinzhi Wang

Publication date: 10 May 2019

Published in: Scandinavian Actuarial Journal (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/10852/70811

zbMATH Keywords

model selectionrisk measuresloss distributions

Mathematics Subject Classification ID

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

Related Items (1)

Ruin under light-tailed or moderately heavy-tailed insurance risks interplayed with financial risks

Cites Work

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• Modelling censored losses using splicing: a global fit strategy with mixed Erlang and extreme value distributions
• Modeling loss data using composite models
• Focused Information Criteria and Model Averaging for the Cox Hazard Regression Model
• Model Selection and Model Averaging
• Statistical Size Distributions in Economics and Actuarial Sciences
• The Focused Information Criterion
• Parametric or nonparametric: The FIC approach
• Modeling Severity and Measuring Tail Risk of Norwegian Fire Claims

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