A novel claim size distribution based on a Birnbaum-Saunders and gamma mixture capturing extreme values in insurance: estimation, regression, and applications.
Emilio Gómez-DénizVíctor LeivaEnrique Calderín-OjedaChristophe ChesneauPublished in: Comput. Appl. Math. (2022)
Keyphrases
- extreme values
- target variable
- regression model
- gaussian distribution
- semi parametric
- ordinary least squares
- parameter estimation
- random variables
- nonparametric regression
- robust regression
- regression problems
- mixture model
- maximum likelihood estimates
- computational complexity
- support vector
- neural network
- heavy tailed distributions
- multi variate
- maximum likelihood estimator
- heavy tailed
- maximum likelihood estimation
- density estimation
- standard deviation
- utility function
- cross validation