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

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

Text (An EM Algorithm for Fitting a New Class of Mixed Exponential Regression Models with Varying Dispersion) - Accepted Version Download (283kB)

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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
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:	08 Nov 2024 04:15
URI:	http://eprints.lse.ac.uk/id/eprint/104027

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