Semi-parametric specification tests for discrete probability models.

From: Journal of Risk and Insurance | Date: March 1, 2003| Author: | Copyright information

ABSTRACT

Loss functions play an important role in analyzing insurance portfolios. A fundamental issue in the study of loss functions involves the selection of probability models for claim frequencies. In this article, we propose a semi-parametric approach based on the generalized method of moments (GMM) to solve the specification problems concerning claim frequency distributions. The GMM-based testing procedure provides a general framework that encompasses many specification problems of interest in actuarial applications. As an alternative approach to the Pearson [chi square] ...

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