Modelling censored losses using splicing : a global fit strategy with mixed Erlang and extreme value distributions

Tom Reynkens, Roel Verbelen, Jan Beirlant, Katrien Antonio

Year of publication:	November 2017
Authors:	Reynkens, Tom ; Verbelen, Roel ; Beirlant, Jan ; Antonio, Katrien
Published in:	Insurance / Mathematics & economics. - Amsterdam : Elsevier, ISSN 0167-6687, ZDB-ID 8864-X. - Vol. 77.2017, p. 65-77
Subject:	Censoring \| Composite model \| Expectation-maximisation algorithm \| Risk measurement \| Tail modelling \| Statistische Verteilung \| Statistical distribution \| Risikomaß \| Risk measure \| Schätztheorie \| Estimation theory \| Algorithmus \| Algorithm \| Ausreißer \| Outliers \| Risiko \| Risk \| Portfolio-Management \| Portfolio selection

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