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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Veröffentlicht in:	Insurance, mathematics & economics Jg. 107; S. 180 - 198
1. Verfasser:	Fung, Tsz Chai
Format:	Journal Article
Sprache:	Englisch
Veröffentlicht:	Elsevier B.V 01.11.2022
Schlagworte:	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-Zugang:	Volltext
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