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Scientific Article
unige:79875 
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Local Transformation Kernel Density Estimation of Loss Distributions |
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| 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 models — Transformation — Champernowne distri- bution — Asymmetric kernels — Local likelihood estimation | |
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| 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. doi: 10.1198/jbes.2009.0011 https://archive-ouverte.unige.ch/unige:79875 |
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