1 citations · 2 across the 8 of their papers we have counts for
4 papers · 1 filter
Diagnostic Tests Before Modeling Longitudinal Actuarial Data
Yinhuan Li, Tsz Chai Fung, Liang Peng +1
In non-life insurance, it is essential to understand the serial dynamics and dependence structure of the longitudinal insurance data before using them. Existing actuarial literatur…
Robust estimation and model diagnostic of insurance loss data: a weighted likelihood approach
Tsz Chai Fung
This paper presents a score-based weighted likelihood estimator (SWLE) for robust estimations of generalized linear model (GLM) for insurance loss data. The SWLE exhibits a limited…
Maximum weighted likelihood estimator for robust heavy-tail modelling of finite mixture models
Tsz Chai Fung
In this article, we present the maximum weighted likelihood estimator (MWLE) for robust estimations of heavy-tail finite mixture models (FMM). This is motivated by the complex dist…
Mixture composite regression models with multi-type feature selection
Tsz Chai Fung, George Tzougas, Mario Wuthrich
The aim of this paper is to present a mixture composite regression model for claim severity modelling. Claim severity modelling poses several challenges such as multimodality, heav…