A novel claim size distribution based on a Birnbaum-Saunders and gamma mixture capturing extreme values in insurance: estimation, regression, and applications

DOI10.1007/s40314-022-01875-6OpenAlexW4280547159MaRDI QIDQ2158510

Víctor Leiva, Christophe Chesneau, Emilio Gómez-Déniz, Enrique Calderín Ojeda

Publication date: 26 July 2022

Published in: Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s40314-022-01875-6

zbMATH Keywords

actuarial datadiscrete mixture distributionmoment and maximum-likelihood estimation

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70) Point estimation (62F10) Exact distribution theory in statistics (62E15) Risk models (general) (91B05)

Uses Software

• Mathematica

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Likelihood Ratio Tests for Model Selection and Non-Nested Hypotheses
• A generalization of the credibility theory obtained by using the weighted balanced loss function
• Shape and change point analyses of the Birnbaum-Saunders-\(t\) hazard rate and associated estimation
• On the unit Burr-XII distribution with the quantile regression modeling and applications
• A new quantile regression for the COVID-19 mortality rates in the United States
• Matrix differential calculus with applications in the multivariate linear model and its diagnostics
• Robust beta regression modeling with errors-in-variables: a Bayesian approach and numerical applications
• Modeling right-skewed financial data streams: a likelihood inference based on the generalized Birnbaum-Saunders mixture model
• Normal mean-variance Lindley Birnbaum-Saunders distribution
• A course in credibility theory and its applications
• Fundamentals of Modern Statistical Methods
• Reinsurance
• On a new mixture-based regression model: simulation and application to data with high censoring
• Risk Theory
• A new family of life distributions
• Extreme Value Theory as a Risk Management Tool
• Regularly varying functions
• Log‐symmetric quantile regression models

This page was built for publication: A novel claim size distribution based on a Birnbaum-Saunders and gamma mixture capturing extreme values in insurance: estimation, regression, and applications