Spark's Work

LRMoE Software Packages

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).