Related papers: Credibility Theory Based on Winsorizing

When constructing parametric models to predict the cost of future claims, several important details have to be taken into account: (i) models should be designed to accommodate deductibles, policy limits, and coinsurance factors, (ii)…

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 sensitivity to the outliers, theoretically justifying its…

As the most fundamental problem in statistics, robust location estimation has many prominent solutions, such as the trimmed mean, Winsorized mean, Hodges Lehmann estimator, Huber M estimator, and median of means. Recent studies suggest that…

In this paper, we consider robust estimation of claim severity models in insurance, when data are affected by truncation (due to deductibles), censoring (due to policy limits), and scaling (due to coinsurance). In particular, robust…

This paper introduces a new version of the smoothly trimmed mean with a more general version of weights, which can be used as an alternative to the classical trimmed mean. We derive its asymptotic variance and to further investigate its…

Statistical modeling of claim severity distributions is essential in insurance and risk management, where achieving a balance between robustness and efficiency in parameter estimation is critical against model contaminations. Two \( L…

Actuaries use predictive modeling techniques to assess the loss cost on a contract as a function of observable risk characteristics. State-of-the-art statistical and machine learning methods are not well equipped to handle hierarchically…

We consider robust estimation of wrapped models to multivariate circular data that are points on the surface of a $p$-torus based on the weighted likelihood methodology.Robust model fitting is achieved by a set of weighted likelihood…

Robust estimation of a mean vector, a topic regarded as obsolete in the traditional robust statistics community, has recently surged in machine learning literature in the last decade. The latest focus is on the sub-Gaussian performance and…

We revisit the classical credibility results of Jewell and B\"uhlmann to obtain credibility premiums for a GLM using a modern Bayesian approach. Here the prior distributions can be chosen without restrictions to be conjugate to the response…

Generalized linear models (GLMs) using a regression procedure to fit relationships between predictor and target variables are widely used in automobile insurance data. Here, in the process of ratemaking and in order to compute the premiums…

Importance sampling is a widely used technique to estimate properties of a distribution. This paper investigates trading-off some bias for variance by adaptively winsorizing the importance sampling estimator. The novel winsorizing…

The celebrated Bernstein von-Mises theorem ensures that credible regions from Bayesian posterior are well-calibrated when the model is correctly-specified, in the frequentist sense that their coverage probabilities tend to the nominal…

In recent years the ultrahigh dimensional linear regression problem has attracted enormous attentions from the research community. Under the sparsity assumption most of the published work is devoted to the selection and estimation of the…

Motivated by parametric models for which the likelihood is analytically unavailable, numerically unstable, or prohibitively expensive to compute or optimize, we develop a prior- and likelihood-free framework for fully probabilistic…

Data-driven risk analysis involves the inference of probability distributions from measured or simulated data. In the case of a highly reliable system, such as the electricity grid, the amount of relevant data is often exceedingly limited,…

Dependent data underlies many statistical studies in the social and health sciences, which often involve sensitive or private information. Differential privacy (DP) and in particular \textit{user-level} DP provide a natural formalization of…

Robust Bayesian analysis has been mainly devoted to detecting and measuring robustness w.r.t. the prior distribution. Many contributions in the literature aim to define suitable classes of priors which allow the computation of variations of…

Reliability inference based on parametric distributions is an important problem in electrical and mechanical engineering. Most existing methods rely on approximations or bootstrap procedures, which may not perform satisfactorily when data…

We develop a method to generate prediction sets with a guaranteed coverage rate that is robust to corruptions in the training data, such as missing or noisy variables. Our approach builds on conformal prediction, a powerful framework to…