Show simple item record

dc.contributor.authorBrouste, Alexandre
dc.contributor.authorDutang, Christophe
dc.contributor.authorRohmer, Tom
dc.date.accessioned2019-04-23T11:09:59Z
dc.date.available2019-04-23T11:09:59Z
dc.date.issued2018
dc.identifier.urihttps://basepub.dauphine.fr/handle/123456789/18739
dc.language.isoenen
dc.subjectheavy-tailed distributionsen
dc.subjectinsurance claim modelingen
dc.subjectGeneralized linear modelen
dc.subject.ddc519en
dc.titleClosed form Maximum Likelihood Estimator for Generalized Linear Models in the case of categorical explanatory variables: Application to insurance loss modellingen
dc.typeDocument de travail / Working paper
dc.description.abstractenGeneralized Linear Models with categorical explanatory variables are considered and parameters of the model are estimated with an original exact maximum likelihood method. The existence of a sequence of maximum likelihood estimators is discussed and considerations on possible link functions are proposed. A focus is then given on two particular positive distributions: the Pareto 1 distribution and the shifted log-normal distributions. Finally, the approach is illustrated on a actuarial dataset to model insurance losses.en
dc.publisher.nameCahier de recherche CEREMADE, Université Paris-Dauphineen
dc.publisher.cityParisen
dc.identifier.citationpages28en
dc.relation.ispartofseriestitleCahier de recherche CEREMADE, Université Paris-Dauphineen
dc.identifier.urlsitehttps://hal.archives-ouvertes.fr/hal-01781504en
dc.subject.ddclabelProbabilités et mathématiques appliquéesen
dc.identifier.citationdate2018
dc.description.ssrncandidatenonen
dc.description.halcandidatenonen
dc.description.readershiprechercheen
dc.description.audienceInternationalen
dc.date.updated2019-03-18T14:37:34Z
hal.person.labIds90071
hal.person.labIds60
hal.person.labIds90071


Files in this item

Thumbnail

This item appears in the following Collection(s)

Show simple item record