MODELLING INSURANCE LOSSES USING CONTAMINATED GENERALISED BETA TYPE-II DISTRIBUTION

DOI10.1017/asb.2017.37zbMath1390.62204OpenAlexW2792584016MaRDI QIDQ4562958

S. T. Boris Choy, Zinoviy Landsman, Jennifer So-Kuen Chan, Udi E. Makov

Publication date: 6 June 2018

Published in: ASTIN Bulletin (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1017/asb.2017.37

zbMATH Keywords

EM algorithmvalue-at-riskloss distributiontail conditional expectationBayesian MCMCcontaminated mixture distributiongeneralised beta type-II distribution

Mathematics Subject Classification ID

Related Items (6)

NEW LOSS RESERVE MODELS WITH PERSISTENCE EFFECTS TO FORECAST TRAPEZOIDAL LOSSES IN RUN-OFF TRIANGLES ⋮ An alternative for Laplace Birnbaum-Saunders distribution ⋮ Forecasting trade durations via ACD models with mixture distributions ⋮ Truncated, censored, and actuarial payment-type moments for robust fitting of a single-parameter Pareto distribution ⋮ ROBUST ESTIMATION OF LOSS MODELS FOR LOGNORMAL INSURANCE PAYMENT SEVERITY DATA ⋮ GENERALIZING THE LOG-MOYAL DISTRIBUTION AND REGRESSION MODELS FOR HEAVY-TAILED LOSS DATA

Uses Software

• BayesDA

Cites Work

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