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An EM algorithm for fitting a new class of mixed exponential regression models with varying dispersion

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<title>An EM algorithm for fitting a new class of mixed exponential regression models with varying dispersion</title>
</titleInfo>
<name type="personal" usage="primary" xmlns:xlink="http://www.w3.org/1999/xlink" xlink:href="MAPA20140009800">
<namePart>Tzougas, George</namePart>
<nameIdentifier>MAPA20140009800</nameIdentifier>
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<name type="personal" xmlns:xlink="http://www.w3.org/1999/xlink" xlink:href="MAPA20200013471">
<namePart>Karlis, Dimitris </namePart>
<nameIdentifier>MAPA20200013471</nameIdentifier>
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<genre authority="marcgt">periodical</genre>
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<dateIssued encoding="marc">2020</dateIssued>
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<languageTerm type="code" authority="iso639-2b">eng</languageTerm>
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<abstract displayLabel="Summary">Regression modelling involving heavy-tailed response distributions, which have heavier tails than the exponential distribution, has become increasingly popular in many insurance settings including non-life insurance. Mixed Exponential models can be considered as a natural choice for the distribution of heavy-tailed claim sizes since their tails are not exponentially bounded. This paper is concerned with introducing a general family of mixed Exponential regression models with varying dispersion which can efficiently capture the tail behaviour of losses. Our main achievement is that we present an Expectation- Maximization (EM)-type algorithm which can facilitate maximum likelihood (ML) estimation for our class of mixed Exponential models which allows for regression specifications for both the mean and dispersion parameters. Finally, a real data application based on motor insurance data is given to illustrate the versatility of the proposed EM-type algorithm.</abstract>
<note type="statement of responsibility">George Tzougas, Dimitris Karlis</note>
<subject xmlns:xlink="http://www.w3.org/1999/xlink" xlink:href="MAPA20080579258">
<topic>Cálculo actuarial</topic>
</subject>
<subject xmlns:xlink="http://www.w3.org/1999/xlink" xlink:href="MAPA20080553128">
<topic>Algoritmos</topic>
</subject>
<subject xmlns:xlink="http://www.w3.org/1999/xlink" xlink:href="MAPA20080592011">
<topic>Modelos actuariales</topic>
</subject>
<subject xmlns:xlink="http://www.w3.org/1999/xlink" xlink:href="MAPA20080602611">
<topic>Modelos de dispersión</topic>
</subject>
<classification authority="">6</classification>
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<titleInfo>
<title>Astin bulletin</title>
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<publisher>Belgium : ASTIN and AFIR Sections of the International Actuarial Association</publisher>
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<identifier type="issn">0515-0361</identifier>
<identifier type="local">MAP20077000420</identifier>
<part>
<text>01/05/2020 Volumen 50 Número 2 - mayo 2020 , p. 555-583</text>
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<recordCreationDate encoding="marc">200604</recordCreationDate>
<recordChangeDate encoding="iso8601">20200610090110.0</recordChangeDate>
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