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@article{Rosenstock2022, | ||
author = {Axel Bücher and Alexander Rosenstock}, | ||
title = {Micro-level prediction of outstanding claim counts based on novel mixture models and neural networks.}, | ||
year = {2022}, | ||
JOURNAL = {Eur. Actuar. J.}, | ||
FJOURNAL = {European Actuarial Journal}, | ||
YEAR = {2022}, | ||
OPTISSN = {2190-9733}, | ||
MRCLASS = {Expansion}, | ||
MRNUMBER = {3878376}, | ||
doi = {10.1007/s13385-022-00314-4} | ||
} | ||
|
||
@misc{Rosenstock2022supp, | ||
author = {Axel Bücher and Alexander Rosenstock}, | ||
title = {Supplementary Material: Micro-level prediction of outstanding claim counts based on novel mixture models and neural networks.}, | ||
year = {2022}, | ||
url = {https://link.springer.com/article/10.1007/s13385-022-00314-4#Sec27} | ||
} | ||
|
||
@article{Rosenstock2023, | ||
author = {Axel Bücher and Alexander Rosenstock}, | ||
title = {Combined modelling of micro-level outstanding claim counts and individual claim frequencies in general insurance}, | ||
journal = {SSRN}, | ||
year = {2023}, | ||
DOI = {10.2139/ssrn.4564502}, | ||
} | ||
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||
@article{fitdistrplus, | ||
title = {fitdistrplus: An R Package for Fitting Distributions}, | ||
volume = {64}, | ||
doi = {10.18637/jss.v064.i04}, | ||
number = {4}, | ||
journal = {Journal of Statistical Software}, | ||
author = {Delignette-Muller, Marie Laure and Dutang, Christophe}, | ||
year = {2015}, | ||
pages = {1–34} | ||
} | ||
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||
@article{evmix, | ||
title = {evmix: An R package for Extreme Value Mixture Modeling, Threshold Estimation and Boundary Corrected Kernel Density Estimation}, | ||
volume = {84}, | ||
doi = {10.18637/jss.v084.i05}, | ||
number = {5}, | ||
journal = {Journal of Statistical Software}, | ||
author = {Hu, Yang and Scarrott, Carl}, | ||
year = {2018}, | ||
pages = {1–27} | ||
} | ||
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||
@Book{MASS, | ||
title = {Modern Applied Statistics with S}, | ||
author = {W. N. Venables and B. D. Ripley}, | ||
publisher = {Springer}, | ||
edition = {Fourth}, | ||
address = {New York}, | ||
year = {2002}, | ||
note = {ISBN 0-387-95457-0}, | ||
url = {https://www.stats.ox.ac.uk/pub/MASS4/}, | ||
} | ||
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||
@Manual{survival, | ||
title = {A Package for Survival Analysis in R}, | ||
author = {Terry M Therneau}, | ||
year = {2023}, | ||
note = {R package version 3.5-7}, | ||
url = {https://CRAN.R-project.org/package=survival}, | ||
} | ||
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||
@Manual{ExtDist, | ||
title = {ExtDist: Extending the Range of Functions for Probability Distributions}, | ||
author = {Haizhen Wu and A. Jonathan R. Godfrey and Kondaswamy Govindaraju and Sarah Pirikahu}, | ||
year = {2023}, | ||
note = {R package version 0.7-1}, | ||
url = {https://CRAN.R-project.org/package=ExtDist}, | ||
} | ||
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||
@Manual{ROOPSD, | ||
title = {ROOPSD: R Object Oriented Programming for Statistical Distribution}, | ||
author = {Yoann Robin}, | ||
year = {2022}, | ||
note = {R package version 0.3.8}, | ||
url = {https://CRAN.R-project.org/package=ROOPSD}, | ||
} | ||
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||
@Article{flexsurv, | ||
title = {{flexsurv}: A Platform for Parametric Survival Modeling in {R}}, | ||
author = {Christopher Jackson}, | ||
journal = {Journal of Statistical Software}, | ||
year = {2016}, | ||
volume = {70}, | ||
number = {8}, | ||
pages = {1--33}, | ||
doi = {10.18637/jss.v070.i08}, | ||
} | ||
|
||
@Manual{tensorflowR, | ||
title = {tensorflow: R Interface to 'TensorFlow'}, | ||
author = {JJ Allaire and Yuan Tang}, | ||
year = {2022}, | ||
note = {R package version 2.11.0}, | ||
url = {https://CRAN.R-project.org/package=tensorflow}, | ||
} | ||
|
||
@Manual{kerasR, | ||
title = {keras: R Interface to 'Keras'}, | ||
author = {Chollet, Fran\c{c}ois and Allaire, JJ and others}, | ||
year = {2017}, | ||
publisher = {GitHub}, | ||
url = {https://github.com/rstudio/keras} | ||
} | ||
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||
@article{Gui2018, | ||
title = {Fitting the Erlang mixture model to data via a GEM-CMM algorithm}, | ||
journal = {Journal of Computational and Applied Mathematics}, | ||
volume = {343}, | ||
pages = {189-205}, | ||
year = {2018}, | ||
issn = {0377-0427}, | ||
doi = {https://doi.org/10.1016/j.cam.2018.04.032}, | ||
author = {Wenyong Gui and Rongtan Huang and X. Sheldon Lin}, | ||
keywords = {Erlang mixture model, Insurance loss data, Generalized EM algorithm, Clusterized method of moments, Local search method}, | ||
} | ||
|
||
@article{deepregression, | ||
title = {deepregression: A Flexible Neural Network Framework for Semi-Structured Deep Distributional Regression}, | ||
volume = {105}, | ||
doi = {10.18637/jss.v105.i02}, | ||
number = {2}, | ||
journal = {Journal of Statistical Software}, | ||
author = {Rügamer, David and Kolb, Chris and Fritz, Cornelius and Pfisterer, Florian and Kopper, Philipp and Bischl, Bernd and Shen, Ruolin and Bukas, Christina and Barros de Andrade e Sousa, Lisa and Thalmeier, Dominik and Baumann, Philipp F. M. and Kook, Lucas and Klein, Nadja and Müller, Christian L.}, | ||
year = {2023}, | ||
pages = {1–31} | ||
} | ||
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||
@article{GAMLSS, | ||
title = {Generalized Additive Models for Location Scale and Shape (GAMLSS) in R}, | ||
volume = {23}, | ||
doi = {10.18637/jss.v023.i07}, | ||
number = {7}, | ||
journal = {Journal of Statistical Software}, | ||
author = {Stasinopoulos, D. Mikis and Rigby, Robert A.}, | ||
year = {2007}, | ||
pages = {1–46} | ||
} | ||
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||
@Manual{R6, | ||
title = {R6: Encapsulated Classes with Reference Semantics}, | ||
author = {Winston Chang}, | ||
year = {2021}, | ||
note = {R package version 2.5.1}, | ||
url = {https://CRAN.R-project.org/package=R6}, | ||
} | ||
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||
@misc{nloptr, | ||
title = {The {NLopt} nonlinear-optimization package}, | ||
author = {Steven G. Johnson}, | ||
year = {2007}, | ||
howpublished = {\url{https://github.com/stevengj/nlopt}} | ||
} | ||
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||
@Article{nloptr-slsqp, | ||
author = {Dieter Kraft}, | ||
title = {Algorithm 733: {TOMP}--Fortran modules for optimal control calculations}, | ||
doi = {10.1145/192115.192124}, | ||
year = {1994}, | ||
volume = {20}, | ||
pages = {262--281}, | ||
journal = {{ACM} Transactions on Mathematical Software} | ||
} | ||
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@Article{nloptr-tnewton, | ||
author = {Ron S. Dembo and Trond Steihaug}, | ||
title = {Truncated-{N}ewton algorithms for large-scale unconstrained optimization}, | ||
doi = {10.1007/bf02592055}, | ||
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volume = {26}, | ||
pages = {190--212}, | ||
journal = {Mathematical Programming} | ||
} | ||
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@Article{nloptr-lbfgs, | ||
author = {Dong C. Liu and Jorge Nocedal}, | ||
title = {On the limited memory {BFGS} method for large scale optimization}, | ||
doi = {10.1007/bf01589116}, | ||
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journal = {Mathematical Programming} | ||
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@Book{GroeneboomWellner1992, | ||
author = {Piet Groeneboom and Jon A. Wellner}, | ||
title = {Information Bounds and Nonparameteric Maximum Likelihood Estimation}, | ||
doi = {10.1007/978-3-0348-8621-5}, | ||
year = {1992}, | ||
publisher = {Birkhäuser Basel}, | ||
series = {Oberwolfach Seminars}, | ||
issn = {1661-237X}, | ||
isbn = {978-3-0348-8621-5} | ||
} | ||
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@Book{DoerreEmura2019, | ||
author = {Achim D\"orre and Takeshi Emura}, | ||
title = {Analysis of Doubly Truncated Data}, | ||
subtitle = {An Introduction}, | ||
doi = {10.1007/978-981-13-6241-5}, | ||
year = {2019}, | ||
publisher = {Springer Singapore}, | ||
series = {SpringerBriefs in Statistics}, | ||
issn = {2191-544X}, | ||
isbn = {978-981-13-6241-5} | ||
} | ||
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@Article{ll2012, | ||
title = {Modeling Dependent Risks with Multivariate Erlang Mixtures}, | ||
journal = {ASTIN Bulletin}, | ||
author = {Lee, Simon C.K. and Lin, X. Sheldon}, | ||
year = {2012}, | ||
volume = {42}, | ||
number = {1}, | ||
pages = {153–180}, | ||
doi = {10.2143/AST.42.1.2160739}, | ||
publisher = {Cambridge University Press} | ||
} | ||
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@InProceedings{Kingma2015, | ||
title = {Adam: A Method for Stochastic Optimization}, | ||
booktitle = {Proceedings of the Third International Conference on Learning Representations}, | ||
author = {Diederik P. Kingma and Jimmy Ba}, | ||
journal = {CoRR}, | ||
year = {2015}, | ||
series = {ICLR'15} | ||
} | ||
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||
@misc{tensorflow, | ||
title = { {TensorFlow}: Large-Scale Machine Learning on Heterogeneous Systems}, | ||
url = {https://www.tensorflow.org/}, | ||
note = {Software available from tensorflow.org}, | ||
author = { | ||
Mart\'{i}n Abadi and | ||
Ashish Agarwal and | ||
Paul Barham and | ||
Eugene Brevdo and | ||
Zhifeng Chen and | ||
Craig Citro and | ||
Greg S. Corrado and | ||
Andy Davis and | ||
Jeffrey Dean and | ||
Matthieu Devin and | ||
Sanjay Ghemawat and | ||
Ian Goodfellow and | ||
Andrew Harp and | ||
Geoffrey Irving and | ||
Michael Isard and | ||
Yangqing Jia and | ||
Rafal Jozefowicz and | ||
Lukasz Kaiser and | ||
Manjunath Kudlur and | ||
Josh Levenberg and | ||
Dandelion Man\'{e} and | ||
Rajat Monga and | ||
Sherry Moore and | ||
Derek Murray and | ||
Chris Olah and | ||
Mike Schuster and | ||
Jonathon Shlens and | ||
Benoit Steiner and | ||
Ilya Sutskever and | ||
Kunal Talwar and | ||
Paul Tucker and | ||
Vincent Vanhoucke and | ||
Vijay Vasudevan and | ||
Fernanda Vi\'{e}gas and | ||
Oriol Vinyals and | ||
Pete Warden and | ||
Martin Wattenberg and | ||
Martin Wicke and | ||
Yuan Yu and | ||
Xiaoqiang Zheng | ||
}, | ||
year = {2015} | ||
} | ||
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@article{Zhang2005, | ||
author = {Zhang, Zhigang and Sun, Liuquan and Zhao, Xingqiu and Sun, Jianguo}, | ||
title = {Regression analysis of interval-censored failure time data with linear transformation models}, | ||
journal = {Canadian Journal of Statistics}, | ||
volume = {33}, | ||
number = {1}, | ||
pages = {61-70}, | ||
keywords = {Covariate effects, interval-censored failure time data, linear transformation models, semiparametric regression}, | ||
doi = {https://doi.org/10.1002/cjs.5540330105}, | ||
year = {2005} | ||
} | ||
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||
@book{DobsonBarnett2018, | ||
place = {Boca Raton}, | ||
edition = {4}, | ||
title = {An introduction to generalized linear models}, | ||
publisher = {CRC Press, Taylor \& Francis Group}, | ||
author = {Dobson, Annette J. and Barnett, Adrian G.}, | ||
isbn = {978-1-315-18278-0}, | ||
doi = {10.1201/9781315182780}, | ||
year = {2018} | ||
} | ||
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||
@book{Sun2006, | ||
author = {Sun, Jianguo}, | ||
title = {The statistical analysis of interval-censored failure time data}, | ||
series = {Statistics for Biology and Health}, | ||
publisher = {Springer, New York}, | ||
year = {2006}, | ||
pages = {xvi+302}, | ||
isbn = {978-0-387-32905-5}, | ||
doi = {10.1007/0-387-37119-2}, | ||
MRCLASS = {62-02 (62-07 62G05 62N01 62N05 92B15)}, | ||
MRNUMBER = {2287318}, | ||
} | ||
|
||
|
||
@Manual{baseR, | ||
title = {R: A Language and Environment for Statistical Computing}, | ||
author = {{R Core Team}}, | ||
organization = {R Foundation for Statistical Computing}, | ||
address = {Vienna, Austria}, | ||
year = {2023}, | ||
url = {https://www.R-project.org/}, | ||
} |
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