Estimate the parameters for frequency and severity distributions by maximum likelihood.
Free SOA Exam ASTAM (Advanced Short-Term Actuarial Mathematics) lesson in Construction and Selection of Parametric Models. 32 min read, ~4,831 words.
Likelihood is the product of over complete observations, over right-censored ones, and over left-truncated ones. Closed-form severity: exponential; lognormal and with divisor, not. Closed-form frequency: Poisson; binomial. Right censoring: exponential divides by the complete count, never the full. Numerical only: gamma, Weibull, Pareto (both parameters), negative binomial; Newton-Raphson on the...
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What this lesson covers
- Content
- Example 1
- Example 2
- Example 3
- Example 4
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Learning objectives
- 4a
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