EM Estimation for the Poisson-Inverse Gamma Regression Model with Varying Dispersion: An Application to Insurance Ratemaking
This article presents the Poisson-Inverse Gamma regression model with varying dispersion for approximating heavy-tailed and overdispersed claim counts. Our main contribution is that we develop an Expectation-Maximization (EM) type algorithm for maximum likelihood (ML) estimation of the Poisson-Inver...
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| Format: | Article |
| Language: | English |
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MDPI AG
2020-09-01
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| Series: | Risks |
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| Online Access: | https://www.mdpi.com/2227-9091/8/3/97 |