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An EM algorithm for Double-Pareto-lognormal generalized linear model applied to heavy-tailed insurance claims
Calderín-Ojeda, Enrique; Fergusson, Kevin; Wu, Xueyuan - In: Risks : open access journal 5 (2017) 4, pp. 1-24
Generalized linear models might not be appropriate when the probability of extreme events is higher than that implied by the normal distribution. Extending the method for estimating the parameters of a double Pareto lognormal distribution (DPLN) in Reed and Jorgensen (2004), we develop an EM...
Persistent link: https://www.econbiz.de/10011783746
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An EM algorithm for Double-Pareto-lognormal generalized linear model applied to heavy-tailed insurance claims
Calderín-Ojeda, Enrique; Fergusson, Kevin; Wu, Xueyuan - In: Risks 5 (2017) 4, pp. 1-24
Generalized linear models might not be appropriate when the probability of extreme events is higher than that implied by the normal distribution. Extending the method for estimating the parameters of a double Pareto lognormal distribution (DPLN) in Reed and Jorgensen (2004), we develop an EM...
Persistent link: https://www.econbiz.de/10011996555
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An EM Algorithm for DPLN-Regression Applied to Heavy-Tailed Insurance Claims
Calderin, Enrique - 2017
Traditional regression models might not be appropriate when the probability of extreme events is higher than that implied by the normal distribution. Extending the method for estimating the parameters of a double Pareto lognormal distribution (DPLN) in Reed and Jorgensen (2004), we develop an EM...
Persistent link: https://www.econbiz.de/10012958188