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Composite models with underlying folded distributions

In this note, we examine the performance of 25 new composite models that are derived from 5 underlying folded distributions for modeling insurance loss data. These models are assessed using standard selection criteria involving the Akaike Information Criteria and the Bayesian Information Criteria as...

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Main Authors: Abu Bakar, Shaiful Anuar, Nadarajah, S.
Format: Article
Published: Elsevier 2021
Subjects:
QA Mathematics
Online Access:http://eprints.um.edu.my/26924/
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spelling my.um.eprints.269242022-04-13T03:43:55Z http://eprints.um.edu.my/26924/ Composite models with underlying folded distributions Abu Bakar, Shaiful Anuar Nadarajah, S. QA Mathematics In this note, we examine the performance of 25 new composite models that are derived from 5 underlying folded distributions for modeling insurance loss data. These models are assessed using standard selection criteria involving the Akaike Information Criteria and the Bayesian Information Criteria as well as proximity to empirical risk estimates. Three models are found significant in improving the goodness-of-fit than the latest development in the literature with two models reliable for risk estimation. (C) 2020 Elsevier B.V. All rights reserved. Elsevier 2021-07 Article PeerReviewed Abu Bakar, Shaiful Anuar and Nadarajah, S. (2021) Composite models with underlying folded distributions. Journal of Computational and Applied Mathematics, 390. ISSN 0377-0427, DOI https://doi.org/10.1016/j.cam.2020.113351 <https://doi.org/10.1016/j.cam.2020.113351>. 10.1016/j.cam.2020.113351
institution Universiti Malaya
building UM Library
collection Institutional Repository
continent Asia
country Malaysia
content_provider Universiti Malaya
content_source UM Research Repository
url_provider http://eprints.um.edu.my/
topic QA Mathematics
spellingShingle QA Mathematics
Abu Bakar, Shaiful Anuar
Nadarajah, S.
Composite models with underlying folded distributions
description In this note, we examine the performance of 25 new composite models that are derived from 5 underlying folded distributions for modeling insurance loss data. These models are assessed using standard selection criteria involving the Akaike Information Criteria and the Bayesian Information Criteria as well as proximity to empirical risk estimates. Three models are found significant in improving the goodness-of-fit than the latest development in the literature with two models reliable for risk estimation. (C) 2020 Elsevier B.V. All rights reserved.
format Article
author Abu Bakar, Shaiful Anuar
Nadarajah, S.
author_facet Abu Bakar, Shaiful Anuar
Nadarajah, S.
author_sort Abu Bakar, Shaiful Anuar
title Composite models with underlying folded distributions
title_short Composite models with underlying folded distributions
title_full Composite models with underlying folded distributions
title_fullStr Composite models with underlying folded distributions
title_full_unstemmed Composite models with underlying folded distributions
title_sort composite models with underlying folded distributions
publisher Elsevier
publishDate 2021
url http://eprints.um.edu.my/26924/
_version_ 1735409476539777024
score 13.209306

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