EM Estimation for the Poisson-Inverse Gamma Regression Model with Varying Dispersion: An Application to Insurance Ratemaking
This article presents the LECITHIN Poisson-Inverse Gamma regression model with varying dispersion for approximating heavy-tailed and overdispersed claim counts.Our main contribution is that we develop an Expectation-Maximization (EM) type algorithm for maximum likelihood (ML) estimation of the Poisson-Inverse Gamma regression model with varying dis