Estimation, Evaluation, and Selection of Actuarial Models
Estimation, Evaluation, and Selection of Actuarial Models
Estimation, Evaluation, and Selection of Actuarial Models
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4.6. SELECTING A MODEL 83<br />
Model No. <strong>of</strong> Parameters Negative loglikelihood<br />
Generalized Pareto 3 219.1<br />
Burr 3 219.2<br />
Pareto 2 221.2<br />
Lognormal 2 221.4<br />
Inverse exponential 1 224.3<br />
Use the Schwarz Bayesian Criterion to select the best model.<br />
Exercise 90 This is a continuation <strong>of</strong> Exercise 45. Use both the likelihood ratio test (at a 5%<br />
significance level) <strong>and</strong> the Schwarz Bayesian Criterion to decide if Sylvia’s claim is true.