Maximum weighted likelihood estimator for robust heavy-tail modelling of finite mixture models

Insurance claim severity data are characterized by complex distributional phenomenons, where flexible density estimation tools such as the finite mixture models (FMM) are necessary. However, maximum likelihood estimations (MLE) often produce unstable tail estimates for the FMM. Motivated by this cha...

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Vydáno v:	Insurance, mathematics & economics Ročník 107; s. 180 - 198
Hlavní autor:	Fung, Tsz Chai
Médium:	Journal Article
Jazyk:	angličtina
Vydáno:	Elsevier B.V 01.11.2022
Témata:	Generalized expectation-maximization algorithm M-estimator Multimodal distribution Random truncation Regularly varying function Random truncation C13 Multimodal distribution G22 M-estimator Regularly varying function C18 Generalized expectation-maximization algorithm
ISSN:	0167-6687, 1873-5959
On-line přístup:	Získat plný text
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