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Mixtures of tails in clustered automobile collision claims

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  • Kalb, Guyonne R. J.
  • Kofman, Paul
  • Vorst, Ton C. F.

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  • Kalb, Guyonne R. J. & Kofman, Paul & Vorst, Ton C. F., 1996. "Mixtures of tails in clustered automobile collision claims," Insurance: Mathematics and Economics, Elsevier, vol. 18(2), pages 89-107, July.
    • Handle: RePEc:eee:insuma:v:18:y:1996:i:2:p:89-107
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    References listed on IDEAS

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    1. Cummins, J. David & Dionne, Georges & McDonald, James B. & Pritchett, B. Michael, 1990. "Applications of the GB2 family of distributions in modeling insurance loss processes," Insurance: Mathematics and Economics, Elsevier, vol. 9(4), pages 257-272, December.
    2. Ruud, Paul A., 1991. "Extensions of estimation methods using the EM algorithm," Journal of Econometrics, Elsevier, vol. 49(3), pages 305-341, September.
    3. Loretan, Mico & Phillips, Peter C. B., 1994. "Testing the covariance stationarity of heavy-tailed time series: An overview of the theory with applications to several financial datasets," Journal of Empirical Finance, Elsevier, vol. 1(2), pages 211-248, January.
    4. Hogg, Robert V. & Klugman, Stuart A., 1983. "On the estimation of long tailed skewed distributions with actuarial applications," Journal of Econometrics, Elsevier, vol. 23(1), pages 91-102, September.
    5. Beirlant, Jan & Teugels, Jozef L., 1992. "Modeling large claims in non-life insurance," Insurance: Mathematics and Economics, Elsevier, vol. 11(1), pages 17-29, April.
    6. White, Halbert, 1982. "Regularity conditions for cox's test of non-nested hypotheses," Journal of Econometrics, Elsevier, vol. 19(2-3), pages 301-318, August.
    7. Weba, Michael, 1993. "Fitting a parametric distribution for large claims in case of censored or partitioned data," Insurance: Mathematics and Economics, Elsevier, vol. 12(2), pages 155-165, April.
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    Cited by:

    1. Amira Dridi & Mohamed El Ghourabi & Mohamed Limam, 2012. "On monitoring financial stress index with extreme value theory," Quantitative Finance, Taylor & Francis Journals, vol. 12(3), pages 329-339, March.
    2. Mohamed El Ghourabi & Amira Dridi & Mohamed Limam, 2015. "A new financial stress index model based on support vector regression and control chart," Journal of Applied Statistics, Taylor & Francis Journals, vol. 42(4), pages 775-788, April.
    3. Bolance, Catalina & Guillen, Montserrat & Nielsen, Jens Perch, 2003. "Kernel density estimation of actuarial loss functions," Insurance: Mathematics and Economics, Elsevier, vol. 32(1), pages 19-36, February.
    4. Pozo, Susan & Amuedo-Dorantes, Catalina, 2003. "Statistical distributions and the identification of currency crises," Journal of International Money and Finance, Elsevier, vol. 22(4), pages 591-609, August.

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