Modelling censored losses using splicing : a global fit strategy with mixed Erlang and extreme value distributions
Year of publication: |
November 2017
|
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Authors: | Reynkens, Tom ; Verbelen, Roel ; Beirlant, Jan ; Antonio, Katrien |
Published in: |
Insurance / Mathematics & economics. - Amsterdam : Elsevier, ISSN 0167-6687, ZDB-ID 8864-X. - Vol. 77.2017, p. 65-77
|
Subject: | Censoring | Composite model | Expectation-maximisation algorithm | Risk measurement | Tail modelling | Theorie | Theory | Statistische Verteilung | Statistical distribution | Ausreißer | Outliers | Risikomaß | Risk measure | Messung | Measurement |
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