Pooled insurance claims sample a size-biased mixture of conditional severity laws, not the marginal severity distribution, and a composite likelihood built on the size-biased law corrects the resulting estimation bias.
Insurance: Mathematics and Economics , volume =
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Severity estimation in dependent collective risk models
Pooled insurance claims sample a size-biased mixture of conditional severity laws, not the marginal severity distribution, and a composite likelihood built on the size-biased law corrects the resulting estimation bias.