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The EM algorithm for a Poisson mixture model. (English) Zbl 1265.65013

Summary: We model the distribution of the random variable “number or claims” that affects a policy or a policy portfolio in a determined period of time, using a Poisson mixture. The parameters of the mixture are estimated using two methods: the moments method and the Expectation-Maximization (EM) algorithm used to evaluate maximum likelihood estimators of the model parameters. The methods are illustrate by simulated numerical data.

MSC:

65C60 Computational problems in statistics (MSC2010)
62F10 Point estimation
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