Artikel
A new heavy tailed class of distributions which includes the Pareto
In this paper, a new heavy-tailed distribution, the mixture Pareto-loggamma distribution, derived through an exponential transformation of the generalized Lindley distribution is introduced. The resulting model is expressed as a convex sum of the classical Pareto and a special case of the loggamma distribution. A comprehensive exploration of its statistical properties and theoretical results related to insurance are provided. Estimation is performed by using the method of log-moments and maximum likelihood. Also, as the modal value of this distribution is expressed in closed-form, composite parametric models are easily obtained by a mode matching procedure. The performance of both the mixture Pareto-loggamma distribution and composite models are tested by employing different claims datasets.
- Sprache
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Englisch
- Erschienen in
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Journal: Risks ; ISSN: 2227-9091 ; Volume: 7 ; Year: 2019 ; Issue: 4 ; Pages: 1-17 ; Basel: MDPI
- Klassifikation
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Wirtschaft
- Thema
-
composite models
excess-of-loss reinsurance
loggamma distribution
pareto distribution
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Bhati, Deepesh
Calderín-Ojeda, Enrique
Meenakshi, Mareeswaran
- Ereignis
-
Veröffentlichung
- (wer)
-
MDPI
- (wo)
-
Basel
- (wann)
-
2019
- DOI
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doi:10.3390/risks7040099
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:43 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Artikel
Beteiligte
- Bhati, Deepesh
- Calderín-Ojeda, Enrique
- Meenakshi, Mareeswaran
- MDPI
Entstanden
- 2019
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