Related papers: $L$-estimation of Claim Severity Models Weighted b…

The primary objective of this scholarly work is to develop two estimation procedures - maximum likelihood estimator (MLE) and method of trimmed moments (MTM) - for the mean and variance of lognormal insurance payment severity data sets…

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 proposes a robust and computationally efficient estimation framework for fitting parametric distributions based on trimmed L-moments. Trimmed L-moments extend classical L-moment theory by downweighting or excluding extreme order…

There are several ways to establish the asymptotic normality of $L$-statistics, which depend on the choice of the weights-generating function and the cumulative distribution selection of the underlying model. In this study, we focus on…

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…

With some regularity conditions maximum likelihood estimators (MLEs) always produce asymptotically optimal (in the sense of consistency, efficiency, sufficiency, and unbiasedness) estimators. But in general, the MLEs lead to non-robust…

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…

A weighted likelihood technique for robust estimation of a multivariate Wrapped Normal distribution for data points scattered on a p-dimensional torus is proposed. The occurrence of outliers in the sample at hand can badly compromise…

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 distributional phenomena of insurance claim severity data, where…

Robust estimators for generalized linear models (GLMs) are not easy to develop due to the nature of the distributions involved. Recently, there has been growing interest in robust estimation methods, particularly in contexts involving a…

Numerous robust estimators exist as alternatives to the maximum likelihood estimator (MLE) when a completely observed ground-up loss severity sample dataset is available. However, the options for robust alternatives to MLE become…

This paper addresses the task of modeling severity losses using segmentation when the data distribution does not fall into the usual regression frameworks. This situation is not uncommon in lines of business such as third-party liability…

We propose a general approach to construct weighted likelihood estimating equations with the aim of obtaining robust parameter estimates. We modify the standard likelihood equations by incorporating a weight that reflects the statistical…

We study the problem of identifying change points in high-dimensional generalized linear models, and propose an approach based on sample-weighted empirical risk minimization. Our method, Weighted ERM, encodes priors on the change points via…

The primary goal of this paper is to introduce a novel frailty model based on the weighted Lindley (WL) distribution for modeling clustered survival data. We study the statistical properties of the proposed model. In particular, the amount…

A novel estimation approach for a general class of semi-parametric multivariate time series models is introduced where the conditional mean is modeled through parametric functions. The focus of the estimation is the conditional mean…

Causal inference requires evaluating models on balanced distributions between treatment and control groups, while training data often exhibits imbalance due to historical decision-making policies. Most conventional statistical methods…

Penalized logistic regression is extremely useful for binary classification with large number of covariates (higher than the sample size), having several real life applications, including genomic disease classification. However, the…

In extreme value theory and other related risk analysis fields, probability weighted moments (PWM) have been frequently used to estimate the parameters of classical extreme value distributions. This method-of-moment technique can be applied…

Large language models (LLMs) offer a scalable mechanism to elicit domain-informed prior information for high-dimensional variable selection. However, existing methods such as LLM-Lasso are sensitive to weight quality, with performance…