Tzougas, George and Karlis, Dimitris (2020) An EM algorithm for fitting a new class of mixed exponential regression models with varying dispersion. Astin Bulletin, 50 (2). 555 - 583. ISSN 0515-0361
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Text (An EM Algorithm for Fitting a New Class of Mixed Exponential Regression Models with Varying Dispersion)
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Abstract
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.
| Item Type: | Article |
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| Official URL: | https://www.cambridge.org/core/journals/astin-bull... |
| Additional Information: | © 2020 Astin Bulletin |
| Divisions: | Statistics |
| Subjects: | Q Science > QA Mathematics H Social Sciences > HA Statistics |
| Date Deposited: | 07 Apr 2020 14:45 |
| Last Modified: | 12 Dec 2024 02:06 |
| URI: | http://eprints.lse.ac.uk/id/eprint/104027 |
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