MODELING AND EVALUATING INSURANCE LOSSES VIA MIXTURES OF ERLANG DISTRIBUTIONS

被引：92

作者：

Lee, Simon ^{[1
]}

Lin, X. ^{[2
]}

机构：

[1] Silen Trading & Consulting Inc, Chicago, IL 60611 USA

[2] Univ Toronto, Dept Stat, Actuarial Sci, Toronto, ON M5S 3G3, Canada

来源：

NORTH AMERICAN ACTUARIAL JOURNAL | 2010年 / 14卷 / 01期

基金：

加拿大自然科学与工程研究理事会;

关键词：

D O I：

10.1080/10920277.2010.10597580

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

In this paper we suggest the use of mixtures of Erlang distributions with common scale parameter to model insurance losses. A modified expectation-maximization (EM) algorithm for parameter estimation tailored to this class of distributions is presented, and its computation efficiency is discussed. Goodness-of-fit tests are performed for data generated from some common parametric distributions and for catastrophic loss data in the United States. Formulas for value-at-risk and conditional tail expectation are provided for individual and aggregate losses.

引用

页码：107 / 130

页数：24

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