Toward a Unified Approach to Fitting Loss Models

Stuart Klugman and Jacques Rioux

North American Actuarial Journal, 2006, vol. 10, issue 1, 63-83

Abstract: There are four components to fitting models: selecting a set of candidate distributions, estimating parameters, evaluating the appropriateness of a model, and determining which member fits best. It is important to have the candidate set be small to avoid overfitting. Finite mixture models using a small number of base distributions provide an ideal set. Because actuaries fit models for a variety of situations, particularly with regard to data modifications, it is useful to have a single approach. Although not optimal or exact for a particular model or data structure, the method should be reasonable for most all settings. Such a method is proposed in this article.

Date: 2006
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DOI: 10.1080/10920277.2006.10596240

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