Robust and Efficient Fitting of Loss Models

DOI10.1080/10920277.2009.10597561zbMath1483.91180OpenAlexW3125668359MaRDI QIDQ5029075

Vytaras Brazauskas

Publication date: 11 February 2022

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

Full work available at URL: https://doi.org/10.1080/10920277.2009.10597561

Mathematics Subject Classification ID

Actuarial mathematics (91G05)

Related Items (6)

BEYOND THE PEARSON CORRELATION: HEAVY-TAILED RISKS, WEIGHTED GINI CORRELATIONS, AND A GINI-TYPE WEIGHTED INSURANCE PRICING MODEL ⋮ Robust bootstrap procedures for the chain-ladder method ⋮ Dirichlet process mixture models for insurance loss data ⋮ Maximum weighted likelihood estimator for robust heavy-tail modelling of finite mixture models ⋮ Robust and efficient fitting of the generalized Pareto distribution with actuarial applications in view ⋮ Weighted allocations, their concomitant-based estimators, and asymptotics

Cites Work

• Robust fitting of claim severity distributions and the method of trimmed moments
• Approximation Theorems of Mathematical Statistics
• Interval Estimation of Actuarial Risk Measures
• A robust prediction error criterion for pareto modelling of upper tails
• Efficient and Robust Fitting of Lognormal Distributions
• On robustness in risk theory
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