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EnglishInsurance and economic data are frequently characterized by positivity, skewness, leptokurtosis, and multi-modality; although many parametric models have been used in the literature, often these peculiarities call for more flexible approaches. Here, we propose a finite mixture of contaminated gamma distributions that provides a better characterization of data. It is placed in between parametric and non-parametric density estimation and strikes a balance between these alternatives, as a large class of densities can be implemented. We adopt a maximum likelihood approach to estimate the model parameters, providing the likelihood and the expected-maximization algorithm implemented to estimate all unknown parameters. We apply our approach to an artificial dataset and to two well-known datasets as the workers compensation data and the healthcare expenditure data taken from the medical expenditure panel survey. The Value-at-Risk is evaluated and comparisons with other benchmark models are provided.
| Titolo: | Fitting insurance and economic data with outliers: a flexible approach based on finite mixtures of contaminated gamma distributions |
| Autori interni: | |
| Data di pubblicazione: | 2018 |
| Rivista: | |
| Handle: | http://hdl.handle.net/20.500.11769/316446 |
| Appare nelle tipologie: | 1.1 Articolo in rivista |
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http://hdl.handle.net/20.500.11769/316446
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