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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Bibliographic Details

Published in:	Insurance, mathematics & economics Vol. 107; pp. 180 - 198
Main Author:	Fung, Tsz Chai
Format:	Journal Article
Language:	English
Published:	Elsevier B.V 01.11.2022
Subjects:	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
Online Access:	Get full text
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