Robust statistical modeling using the Birnbaum-Saunders-t distribution applied to insurance

Authors:
Gilberto A. Paula;Víctor Leiva;Michelli Barros;Shuangzhe Liu
Affiliations:
Departamento de Estatística, Universidade de São Paulo, Brazil;Departamento de Estadística, CIMFAV, Universidad de Valparaíso, Chile;Unidade Acadêmica de Matemática e Estatística, Universidade Federal de Campina Grande, Brazil;Faculty of Information Sciences and Engineering, University of Canberra, Australia
Venue:
Applied Stochastic Models in Business and Industry
Year:
2012

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Abstract

In this paper, we carry out robust modeling and influence diagnostics in Birnbaum-Saunders (BS) regression models. Specifically, we present some aspects related to BS and log-BS distributions and their generalizations from the Student-t distribution, and develop BS-t regression models, including maximum likelihood estimation based on the EM algorithm and diagnostic tools. In addition, we apply the obtained results to real data from insurance, which shows the uses of the proposed model. Copyright © 2011 John Wiley & Sons, Ltd.