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stat.ME2021
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…
stat.ME2021
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…