Risk measure estimation under two component mixture models with trimmed data
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Cites work
- A new class of models for heavy tailed distributions in finance and insurance risk
- (SOFTWARE) actuar
- Composite lognormal-Pareto model with random threshold
- Fitting bivariate loss distributions with copulas
- Generalized inverse Lindley distribution with application to Danish fire insurance data
- Loss models. From data to decisions
- Modeling actuarial data with a composite lognormal-Pareto model
- Modeling loss data using composite models
- Modeling loss data using mixtures of distributions
- Modeling with Weibull-Pareto models
- New composite models for the Danish fire insurance data
- On composite lognormal-Pareto models
- Optimally robust estimators in generalized Pareto models
- Robust and efficient fitting of the generalized Pareto distribution with actuarial applications in view
- Skew mixture models for loss distributions: a Bayesian approach
Cited in
(6)- Multivariate risks and depth-trimmed regions
- On modeling left-truncated loss data using mixtures of distributions
- Skew mixture models for loss distributions: a Bayesian approach
- Estimating a tail of the mixture of log-normal and inverse Gaussian distribution
- Using model averaging to determine suitable risk measure estimates
- A family of density-hazard distributions for insurance losses
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