Concepedia

Loss Distribution Fitting

Loss Distribution Fitting is a statistical modeling method used in risk analysis that specifies the probability distribution of financial or operational losses by estimating parameters from empirical loss data to enable accurate quantification of tail risk and extreme events.

41

Publications

1.4K

Citations

102

Authors

66

Institutions

Publications per year

2017–2026

4

Parents

Publications

41

How to Compare Different Loss Functions and Their Risks

Ingo Steinwart · Constructive Approximation · 2007 · 125 citations

, , +14

S.A. Klugman, H.H. Panjer and G.E. Willmot (1998): Loss Models: From Data to Decisions. Wiley, New York.

Paul Embrechts · Astin Bulletin · 1998 · 124 citations · Full text

, , +11

Loss Distribution Approach in Practice

Antoine Frachot, Olivier Moudoulaud, Thierry Roncalli · SSRN Electronic Journal · 2007 · 107 citations · Full text

, , +13

FITTING MIXTURES OF ERLANGS TO CENSORED AND TRUNCATED DATA USING THE EM ALGORITHM

Roel Verbelen, Lan Gong, Katrien Antonio et al. · Astin Bulletin · 2015 · 77 citations · Full text

, , +13

Skew mixture models for loss distributions: A Bayesian approach

Mauro Bernardi, Antonello Maruotti, Lea Petrella · Insurance Mathematics and Economics · 2012 · 71 citations

, , +15

1–5 of 41

Authors

102

  1. AF
    Antoine Frachot

    Centre for Research in Engineering Surface Technology, Ireland

    3 publications · 161 citations

    3

    h-index

  2. TR
    Thierry Roncalli

    Université d'Évry Val-d'Essonne, France

    3 publications · 161 citations

    3

    h-index

  3. FC
    Francesca Campolongo

    Joint Research Centre, Italy

    2 publications · 80 citations

    2

    h-index

  4. MM
    Marchesi Massimo

    University of Cagliari, Italy

    2 publications · 80 citations

    2

    h-index

  5. FV
    Francesco Vallascas

    University of Leeds, United Kingdom

    2 publications · 80 citations

    2

    h-index

1–5 of 102

Institutions

66

  1. Centre de Recherche en Économie et Statistique

    Palaiseau, France

    3 h-index

    3 publications

    161 citations

  2. Centre for Research in Engineering Surface Technology

    Dublin, Ireland

    3 h-index

    3 publications

    161 citations

  3. Institut National de la Statistique et des Etudes Economiques

    Paris, France

    3 h-index

    3 publications

    161 citations

  4. European Commission

    Brussels, Belgium

    2 h-index

    3 publications

    93 citations

  5. Université d'Évry Val-d'Essonne

    Évry-Courcouronnes, France

    2 h-index

    2 publications

    54 citations

  6. Institut Pasteur

    Paris, France

    2 h-index

    2 publications

    54 citations

  7. University of Cagliari

    Cagliari, Italy

    2 h-index

    4 publications

    160 citations

  8. University of Leeds

    Leeds, United Kingdom

    2 h-index

    2 publications

    80 citations

1–8 of 66

Venues

  1. SSRN Electronic Journal

    Repository · 8 publications · 232 citations

    8

    h-index

  2. The Journal of Operational Risk

    6 publications · 93 citations

    6

    h-index

  3. Astin Bulletin

    4 publications · 270 citations

    4

    h-index

  4. Scandinavian Actuarial Journal

    2 publications · 56 citations

    2

    h-index

  5. Journal of Risk & Insurance

    2 publications · 29 citations

    2

    h-index

1–5