Journal of Data Science | |
Specification Tests for Families of Discrete Distributions with Applications to Insurance Claims Data | |
article | |
Yue Fang1  | |
[1] China Europe International Business School | |
关键词: Claims data; model specification; goodness-of-fit; | |
DOI : 10.6339/JDS.201801_16(1).0008 | |
学科分类:土木及结构工程学 | |
来源: JDS | |
【 摘 要 】
Families of distributions are commonly used to model insurance claims data that require flexible distributional forms in a satisfactory manner, but the specification problem to assess the goodness-of-fit of the hypothesized model can sometimes be a challenge due to the complexity of the likelihood function of the family of distributions involved. The previous work shows that these specification problems can be attacked by means of semi-parametric tests based on generalized method of moment (GMM) estimators. While the approach can be directly applied to both discrete and continuous families of distributions, the paper focuses on developing a testing strategy within a framework of discrete families of distributions. Both the local power analysis and the approximate slope method demonstrate the excellent performance of these tests. The finite-sample performance of the tests, based on both asymptotic and bootstrap critical values, are also discussed and are compared with established methods that require the complete specification of likelihood functions.
【 授权许可】
CC BY
【 预 览 】
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RO202307150000310ZK.pdf | 1106KB | download |