Robust and efficient fitting of loss models: Diagnostic tools and insights

North American Actuarial Journal

Volumn 13, Issue 3, 2009, Pages 356-369

  Brazauskas, Vytaras ^a  

^a UNIVERSITY OF WISCONSIN MILWAUKEE   (United States)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 71649109747     PISSN: 10920277     EISSN: None     Source Type: Journal    
DOI: 10.1080/10920277.2009.10597561     Document Type: Article

References (14)

1. Beirlant, J., J. L. Teugels, and P. Vynckier. 1996. Practical Analysis of Extreme Values. Leuven, Belǵium: Leuven University Press.
2. Brazauskas, V., B. Jones, and R. Zitikis. 2009. Robust Fittinǵ of Claim Severity Distributions and the Method of Trimmed Moments. Journal of Statistical Planninǵand Inference 139(6): 2028-43.
3. Cleveland, W. S. 1993. VisualizinǵData. Summit, NJ: Hobart Press.
4. Cowell, F. A., and M. P. Victoria-Feser. 2006. Distributional Dominance with Trimmed Data. Journal of Business and Economic Statistics 24: 291-300.
5. Cowell, F. A., and M. P. Victoria-Feser. 2007. Robust Stochastic Dominance: A Semiparametric Approach. Journal of Economic Inequality 7: 21-37.
6. Dell’Aquila, R., and P. Embrechts. 2006. Extremes and Robustness: A Contradiction? Financial Markets and Portfolio Manaǵement 20(1): 103-18.
7. Dupuis, D., and M. P. Victoria-Feser. 2006. Robust Prediction Error Criterion for Pareto Modelinǵof Upper Tails. Canadian Journal of Statistics 34(4): 639-58.
8. Hubert, M., P. J. Rousseeuw, and S. Van Aelst. 2004. Robustness. In Encyclopedia of Actuarial Science, edited by B. Sundt and J. Teuǵ els, Vol. 3, pp. 1515-29. London: Wiley.
9. Kaiser, T., and V. Brazauskas. 2006. Interval Estimation of Actuarial Risk Measures. North American Actuarial Journal 10(4): 24968.
10. Klugman, S. A., H. H. Panjer, and G. E. Willmot. 2004. Loss Models: From Data to Decisions. 2nd ed. New York: Wiley.
11. Marceau, E., and J. Rioux. 2001. On Robustness in Risk Theory. Insurance: Mathematics and Economics 29: 167-85.
12. Serfling, R. J. 1980. Approximation Theorems of Mathematical Statistics. New York: Wiley.
13. Serfling, R. J. 2002. Efficient and Robust Fittinǵ of Loǵ normal Distributions (with discussion). North American Actuarial Journal 6(4): 95-109. Discussion: 7(3): 112-16; reply: 7(3): 116.
14. Tukey, J. W. 1977. Exploratory Data Analysis. Readinǵ MA: Addison-Wesley.