A static lognormal-GPD mixture with constant weights can be fitted by EM, offering a threshold-free and computationally efficient model for skewed heavy-tailed losses.
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Modeling and estimating skewed and heavy-tailed populations via unsupervised mixture models
A static lognormal-GPD mixture with constant weights can be fitted by EM, offering a threshold-free and computationally efficient model for skewed heavy-tailed losses.