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An EM algorithm for Double-Pareto-lognormal generalized linear model applied to heavy-tailed insurance claims
Calderín-Ojeda, Enrique; Fergusson, Kevin; Wu, Xueyuan - In: Risks 5 (2017) 4, pp. 1-24
Generalized linear models might not be appropriate when the probability of extreme events is higher than that implied by the normal distribution. Extending the method for estimating the parameters of a double Pareto lognormal distribution (DPLN) in Reed and Jorgensen (2004), we develop an EM...
Persistent link: https://www.econbiz.de/10011996555
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On the Type I multivariate zero-truncated hurdle model with applications in health insurance
Zhang, Pengcheng; Calderin, Enrique; Li, Shuanming; Wu, … - In: Insurance / Mathematics & economics 90 (2020), pp. 35-45
Persistent link: https://www.econbiz.de/10012169495
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An EM algorithm for Double-Pareto-lognormal generalized linear model applied to heavy-tailed insurance claims
Calderín-Ojeda, Enrique; Fergusson, Kevin; Wu, Xueyuan - In: Risks : open access journal 5 (2017) 4, pp. 1-24
Generalized linear models might not be appropriate when the probability of extreme events is higher than that implied by the normal distribution. Extending the method for estimating the parameters of a double Pareto lognormal distribution (DPLN) in Reed and Jorgensen (2004), we develop an EM...
Persistent link: https://www.econbiz.de/10011783746
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A new multivariate zero-inflated hurdle model with applications in automobile insurance
Zhang, Pengcheng; Pitt, David C.; Wu, Xueyuan - In: ASTIN bulletin : the journal of the International … 52 (2022) 2, pp. 393-416
Persistent link: https://www.econbiz.de/10013270069