Lee, David; Li, Wai Keung; Wong, Tony Siu Tung - In: Insurance: Mathematics and Economics 51 (2012) 3, pp. 538-550
We consider a model which allows data-driven threshold selection in extreme value analysis. A mixture exponential distribution is employed as the thin-tailed distribution in view of the special structure of insurance claims, where individuals are often grouped into categories. An EM...