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On the Loglinear Poisson and Gamma Model

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  • ter Berg, Peter

Abstract

Maximum likelihood estimation in case of a Poisson or Gamma distribution with loglinear parametrization for the mean is quite akin. The asymptotic variance-covariance matrix for the maximum likelihood estimator is derived as well as a linear estimator, which can serve as a starting value for the nonlinear search procedure.

Suggested Citation

  • ter Berg, Peter, 1980. "On the Loglinear Poisson and Gamma Model," ASTIN Bulletin, Cambridge University Press, vol. 11(1), pages 35-40, June.
    • Handle: RePEc:cup:astinb:v:11:y:1980:i:01:p:35-40_00
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    Cited by:

    1. Kaas, R. & Hesselager, O., 1995. "Ordering claim size distributions and mixed Poisson probabilities," Insurance: Mathematics and Economics, Elsevier, vol. 17(2), pages 193-201, October.
    2. Martel-Escobar, M. & Hernández-Bastida, A. & Vázquez-Polo, F.J., 2012. "On the independence between risk profiles in the compound collective risk actuarial model," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 82(8), pages 1419-1431.

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