PROC NLMIXED and PROC IML Mixture distribution application in Operational Risk
Sabri Guray Uner, Yunyun Pei · 2013
The main purpose of this study is to provide guidelines on how to consider mixture distributions for operational risk severity distribution modeling, with an emphasis on truncated loss data. Mixture model probability distribution function for truncated operational loss data is introduced and we presented our findings for empirical tests to estimate distribution parameters. However, this study does not intend to advocate or to propose adopting mixture forms without exploring other alternatives, but rather highlights the flexibility of the mixture models and present examples where it can serve better for some specific cases.