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- Title
EFFICIENT ESTIMATION OF ERLANG MIXTURES USING iSCAD PENALTY WITH INSURANCE APPLICATION.
- Authors
Yin, Cuihong; Lin, X. Sheldon
- Abstract
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.
- Subjects
INSURANCE applications; ERLANGEN theology; FINES (Penalties); LOSS ratios (Insurance); THRESHOLDING algorithms
- Publication
Astin Bulletin, 2016, Vol 46, Issue 3, p779
- ISSN
0515-0361
- Publication type
Article
- DOI
10.1017/asb.2016.14