UNIGE document Scientific Article
previous document  unige:79875  next document
add to browser collection
Title

Local Transformation Kernel Density Estimation of Loss Distributions

Authors
Gustafsson, J.
Hagmann, M.
Nielsen, J. P.
Published in Journal of Business & Economic Statistics. 2009, vol. 27, no. 2, p. 161-175
Abstract We develop a tailor made semiparametric asymmetric kernel density estimator for the es- timation of actuarial loss distributions. The estimator is obtained by transforming the data with the generalized Champernowne distribution initially fitted to the data. Then the den- sity of the transformed data is estimated by use of local asymmetric kernel methods to obtain superior estimation properties in the tails. We find in a vast simulation study that the pro- posed semiparametric estimation procedure performs well relative to alternative estimators. An application to operational loss data illustrates the proposed method.
Keywords Actuarial loss modelsTransformationChampernowne distri- butionAsymmetric kernelsLocal likelihood estimation
Identifiers
Full text
Structures
Research group Geneva Finance Research Institute (GFRI)
Citation
(ISO format)
GUSTAFSSON, J. et al. Local Transformation Kernel Density Estimation of Loss Distributions. In: Journal of Business & Economic Statistics, 2009, vol. 27, n° 2, p. 161-175. https://archive-ouverte.unige.ch/unige:79875

119 hits

70 downloads

Update

Deposited on : 2016-01-22

Export document
Format :
Citation style :