Phase-type mixture-of-experts regression for loss severities

  title={Phase-type mixture-of-experts regression for loss severities},
  author={Martin Bladt and Jorge Yslas},
  journal={Scandinavian Actuarial Journal},
. The task of modeling claim severities is addressed when data is not consistent with the classical regression assumptions. This framework is common in several lines of business within insurance and reinsurance, where catastrophic losses or heterogeneous sub-populations result in data difficult to model. Their correct analysis is required for pricing insurance products, and some of the most prevalent recent specifications in this direction are mixture-of-experts models. This paper proposes a… 

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