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Abstract In the Property and Casualty (PC and Expert functions, which govern the distributional properties of the claims. Also, upon the development of denseness theory in regression setting, we can… Click to show full abstract
Abstract In the Property and Casualty (PC and Expert functions, which govern the distributional properties of the claims. Also, upon the development of denseness theory in regression setting, we can heuristically interpret the LRMoE as a “fully flexible” model to capture any distributional, dependence and regression structures subject to a denseness condition. Further, the mathematical tractability of the LRMoE is guaranteed since it satisfies various marginalization and moment properties. Finally, we discuss some special choices of expert functions that make the corresponding LRMoE “fully flexible”. In the subsequent paper (Fung et al., 2019b), we will focus on the estimation and application aspects of the LRMoE.
Journal Title: Insurance: Mathematics and Economics
Year Published: 2019
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