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Disentangling Frequency Models

20 Pages Posted: 9 Jun 2016  

Erika Gomes-Gonçalves

Independent

Henryk Gzyl

Instituto de Estudios Superiores de Administración (IESA)

Date Written: June 30, 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.

Keywords: Frequency Models, Modeling

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

Erika Gomes-Gonçalves (Contact Author)

Independent ( email )

Madrid
madrid
Madrid, Madrid 28014
Spain

HOME PAGE: http://https://erikapat.github.io/

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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