Title:

Loss modeling with mixtures distributions in R package

Group publication title:

Śląski Przegląd Statystyczny = Silesian Statistical Review

Title in english:

Silesian Statistical Review

Creator:

Sitek, Grzegorz

Subject and Keywords:

finite mixture of distributions ; loss distribution ; maximum likelihood estimate ; EM algorithm ; skończone mieszanki rozkładów ; rozkłady strat ; metoda największej wiarygodności ; algorytm EM

Description:

Śląski Przegląd Statystyczny = Silesian Statistical Review, 2017, Nr 15, s. 183-199

Abstrakt:

Finite mixtures of probability distributions may be successfully used in the modeling of probability distributions of losses. These distributions are typically heavy tailed and positively skewed. Finding the distribution that fits loss data well is often difficult. The paper shows that the use of mixed models can significantly improve the goodness-of-fit of the loss data. The paper also presents an algorithm to find estimates of parameters of mixture distribution and gives an illustrative example. The analytical approach is probably the most often used in practice and certainly the most frequently adopted in the actuarial literature. It is reduced to finding a suitable analytical expression which fits the observed data well. For parameters estimation we use the maximum likelihood method applying the Newton-Raphson and EM algorithm. Computations of goodness-of-fit can be judged using the Akaike information criterion

Publisher:

Wydawnictwo Uniwersytetu Ekonomicznego we Wrocławiu

Place of publication:

Wrocław

Date:

2017

Resource Type:

artykuł

Format:

application/pdf

Resource Identifier:

doi:10.15611/sps.2017.15.09

Language:

eng

Relation:

Śląski Przegląd Statystyczny = Silesian Statistical Review, 2017, Nr 15 (21)

Rights:

Pewne prawa zastrzeżone na rzecz Autorów i Wydawcy

Access Rights:

Dla wszystkich zgodnie z licencją

License:

CC BY-NC-ND 3.0 PL

Location:

Uniwersytet Ekonomiczny we Wrocławiu