The Logit-weighted Reduced Mixture-of-Experts model is a flexible framework for modelling insurance claim numbers and claim amounts. Theoretical developments and some applications can be found in Fung et al. (2019) and Fung et al. (2019).
In this project, we implement this model in
julia as a statistical software package
LRMoE.jl. The source code and package documentation are given here and here. A paper accompanying this package has been published in the Annals of Actuarial Science (link).
We recommend using
julia as it provides great numerical performance. Meanwhile, an
R version is also available but is currently not regularly maintained (see here).