Abstract

https://ssrn.com/abstract=2791597
 


 



Disentangling Frequency Models


Erika Gomes-Gonçalves


Universidad Carlos III de Madrid - Department of Business Administration

Henryk Gzyl


Instituto de Estudios Superiores de Administración (IESA)

June 30, 2014

Journal of Operational Risk, Vol. 9, No. 2, 2014

Abstract:     
An interesting problem arises when describing the frequency of losses in a given time period, due to the fact that the data collection procedure may not distinguish subpopulations of risk sources. It consists of devising methods to determine the appropriate model for the frequency of losses due to each source of risk. When considering frequency models of the type (a, b, 0) there are several possible ways to disentangle a mixture of distributions. Here we present an application of the expectation — maximization algorithm and the k-means technique to provide a solution to the problem when the number of sources of risk is known.

Number of Pages in PDF File: 20

Keywords: Frequency Models, Modeling


Date posted: June 9, 2016  

Suggested Citation

Gomes-Gonçalves, Erika and Gzyl, Henryk, Disentangling Frequency Models (June 30, 2014). Journal of Operational Risk, Vol. 9, No. 2, 2014. Available at SSRN: https://ssrn.com/abstract=2791597

Contact Information

Erika Gomes-Gonçalves (Contact Author)
Universidad Carlos III de Madrid - Department of Business Administration ( email )
Calle Madrid 126
Getafe, Madrid, Madrid 28903
Spain
Henryk Gzyl
Instituto de Estudios Superiores de Administración (IESA) ( email )
Ave, Iesa, San Bernardino
Caracas, 1010
Venezuela
HOME PAGE: http://www.iesa.edu.ve
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