Semi-Parametric Specification Tests for Discrete Probability Models
نویسندگان
چکیده
منابع مشابه
Semi-Parametric Specification Tests for Discrete Probability Models
Loss functions play an important role in analyzing insurance portfolios. A fundamental issue in the study of loss functions involves the selection of probability models for claim frequencies. In this article, we propose a semiparametric approach based on the generalized method of moments (GMM) to solve the specification problems concerning claim frequency distributions. The GMM-based testing pr...
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ژورنال
عنوان ژورنال: Journal of Risk & Insurance
سال: 2003
ISSN: 0022-4367,1539-6975
DOI: 10.1111/1539-6975.00048