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LRMoE.jl: a software package for insurance loss modelling using mixture of experts regression model
Annals of Actuarial Science Pub Date : 2021-03-18 , DOI: 10.1017/s1748499521000087
Spark C. Tseung , Andrei L. Badescu , Tsz Chai Fung , X. Sheldon Lin

This paper introduces a new julia package, LRMoE, a statistical software tailor-made for actuarial applications, which allows actuarial researchers and practitioners to model and analyse insurance loss frequencies and severities using the Logit-weighted Reduced Mixture-of-Experts (LRMoE) model. LRMoE offers several new distinctive features which are motivated by various actuarial applications and mostly cannot be achieved using existing packages for mixture models. Key features include a wider coverage on frequency and severity distributions and their zero inflation, the flexibility to vary classes of distributions across components, parameter estimation under data censoring and truncation and a collection of insurance ratemaking and reserving functions. The package also provides several model evaluation and visualisation functions to help users easily analyse the performance of the fitted model and interpret the model in insurance contexts.

中文翻译:

LRMoE.jl:使用混合专家回归模型进行保险损失建模的软件包

本文介绍了一种新的朱莉娅软件包,LRMoE,一种为精算应用量身定制的统计软件,它允许精算研究人员和从业人员使用 Logit 加权简化专家混合 (LRMoE) 模型对保险损失频率和严重程度进行建模和分析。LRMoE 提供了几个新的独特功能,这些功能受各种精算应用程序的推动,并且大多数情况下无法使用现有的混合模型包来实现。主要功能包括更广泛地覆盖频率和严重性分布及其零通货膨胀、跨组件改变分布类别的灵活性、数据审查和截断下的参数估计以及保险费率制定和准备金功能的集合。
更新日期:2021-03-18
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