Centro de Documentacion de Fundación MAPFRE - Efficient estimation of Erlang mixtures using iSCAD penalty with insurance application

MAP20160032512

Efficient estimation of Erlang mixtures using iSCAD penalty with insurance application / Cuihong Yin and X. Sheldon Lin

Sumario: The Erlang mixture model has been widely used in modeling insurance losses due to its desirable distributional properties. In this paper, we consider the problem of efficient estimation of the Erlang mixture model. We present a new thresholding penalty function and a corresponding EM algorithm to estimate model parameters and to determine the order of the mixture. Using simulation studies and a real data application, we demonstrate the efficiency of the EM algorithm

En: Astin bulletin. - Belgium : ASTIN and AFIR Sections of the International Actuarial Association = ISSN 0515-0361. - 01/09/2016 Volumen 46 Número 3 - septiembre 2016 , p. 780-799

I. Lin, Sheldon . II. Título.