Robust Estimation of Pareto's Scale Parameter from Grouped Data

arXiv:2401.14593v2 Announce Type: replace-cross
Abstract: Numerous robust estimators exist as alternatives to the maximum likelihood estimator (MLE) when a completely observed ground-up loss severity sample dataset is available. However, the options for robust alternatives to MLE become significantly limited when dealing with grouped loss severity data, with only a handful of methods like least squares, minimum Hellinger distance, and optimal bounded influence function available. This paper introduces a novel robust estimation technique, the Method of Truncated Moments (MTuM), specifically designed …

abstract arxiv become data dataset likelihood loss math.st mle pareto q-fin.rm robust sample scale stat.co stat.me stat.ml stat.th type