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Werk mee aan internationale normen voor statistische methoden voor Six Sigma, QFD en SPC

18th of December 2015
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Fitting phase-type scale mixtures to heavy-tailed risks

Where:  F3.20, Korteweg - de Vries Institute for Mathematics, Science Park
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
More information:  [comment]
Telephone:  [rooster_phone]
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7th Stochastic Modelling meeting (StochMod 2018)

13th of June 2018 - 15th of June 2018 Read more...

ACM SIGMETRICS FOR 2018

Irvine, California, USA
18th of June 2018 - 22nd of June 2018 Read more...


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