We consider a model which allows data-driven threshold selection in extreme value analysis. A mixture exponential distribution is employed as the thin-tailed distribution in view of the special structure of insurance claims, where individuals are often grouped into categories. An EM...

A Bayesian approach is presented in order to model long tail loss reserving data using the generalized beta distribution of the second kind (GB2) with dynamic mean functions and mixture model representation. The proposed GB2 distribution provides a flexible probability density function, which...