Method of Winsorized Moments for Robust Fitting of Truncated and Censored Lognormal Distributions

DOI10.1080/10920277.2023.2183869zbMATH Open1537.91265MaRDI QIDQ6549261FDOQ6549261

Authors: Chudamani Poudyal, Qian Zhao, Vytaras Brazauskas 

Publication date: 3 June 2024

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

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Mathematics Subject Classification ID

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

Cites Work

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• On estimating the mean and variance of singly truncated normal frequency distributions from the first three sample moments
• Robust and efficient fitting of severity models and the method of winsorized moments
• Truncated, censored, and actuarial payment-type moments for robust fitting of a single-parameter Pareto distribution
• Gamma mixture density networks and their application to modelling insurance claim amounts
• Maximum weighted likelihood estimator for robust heavy-tail modelling of finite mixture models
• Robust estimation of loss models for lognormal insurance payment severity data

Cited In (1)

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