Fitting phase-type scale mixtures to heavy-tailed risks
|When:||14th of December 2017|
Next week on Thursday (Dec 14) we will have a SPIP talk by dr. Leonardo Rojas Nandayapa (University of Liverpool).
Time: 16.00 (!!!)
Location: F3.20, Korteweg - de Vries Institute for Mathematics, Science Park
Title: Fitting phase-type scale mixtures to heavy-tailed risks
ABSTRACT: We consider the fitting of heavy tailed risk distributions with a special attention to distributions with a non-standard shape in the "body" of the distribution. To this end we consider a dense class of heavy tailed distributions introduced recently, employing an EM algorithm for the maximum likelihood estimates of its parameters. We present methods for fitting to observed data, histograms, censored data, as well as to theoretical distributions. Numerical examples are provided with simulated data and a benchmark reinsurance dataset. We empirically demonstrate that our model can provide excellent fits to heavy-tailed data/distributions with minimal assumptions
For more information on the meetings visit http://spipmeetings.wixsite.com/speakers