Information matrices for composite type distributions
Accepted - October 2023
Keywords:m-piece model, three-piece model, two-piece model
Composite type distributions are being increasingly used to model insurance data. Yet no expressions seem to be available for observed information matrices. In this paper, we give expressions for the matrices for two-piece, three-piece and m-piece composite distributions in their most general forms. Expressions for a number of particular cases and a simulation study showing practical use are also given.
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