An expectation-maximization algorithm for the exponential-generalized inverse Gaussian regression model with varying dispersion and shape for modelling the aggregate claim amount
Year of publication: |
2021
|
---|---|
Authors: | Tzougas, George ; Jeong, Himchan |
Published in: |
Risks. - Basel : MDPI, ISSN 2227-9091. - Vol. 9.2021, 1, p. 1-17
|
Publisher: |
Basel : MDPI |
Subject: | dispersion and shape parameters | EM Algorithm | Exponential-Generalized Inverse Gaussian Distribution | heavy-tailed losses | non-life insurance | regression models for the mean |
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