Information Matrices for Composite Type Distributions

Jiahang Lyu; Saralees Nadarajah

doi:10.57805/revstat.v23i3.634

Information Matrices for Composite Type Distributions

Authors

Jiahang Lyu University of Manchester https://orcid.org/0000-0001-8500-4745
Saralees Nadarajah University of Manchester https://orcid.org/0000-0002-0481-0372

DOI:

https://doi.org/10.57805/revstat.v23i3.634

Keywords:

m-piece model, three-piece model, two-piece model

Abstract

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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Published

2025-08-04

Issue

Vol. 23 No. 3 (2025): REVSTAT-Statistical Journal

Section

Article

License

This work is licensed under a Creative Commons Attribution 4.0 International License.

How to Cite

Lyu, J., & Nadarajah, S. (2025). Information Matrices for Composite Type Distributions. REVSTAT-Statistical Journal, 23(3), 397-422. https://doi.org/10.57805/revstat.v23i3.634