Modeling loss data using composite models

被引：94

作者：

Abu Bakar, S. A. ^{[1
]}

Hamzah, N. A. ^{[1
]}

Maghsoudi, M. ^{[1
]}

Nadarajah, S. ^{[2
]}

机构：

[1] Univ Malaya, Inst Math Sci, Kuala Lumpur 50603, Malaysia

[2] Univ Manchester, Sch Math, Manchester M13 9PL, Lancs, England

来源：

INSURANCE MATHEMATICS & ECONOMICS | 2015年 / 61卷

关键词：

Allocated loss adjustment expenses data; Composite Weibull models; Heavy tailed distributions; Danish fire insurance data; Risk measures; LOSS DISTRIBUTIONS;

D O I：

10.1016/j.insmatheco.2014.08.008

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

We develop several new composite models based on the Weibull distribution for heavy tailed insurance loss data. The composite model assumes different weighted distributions for the head and tail of the distribution and several such models have been introduced in the literature for modeling insurance loss data. For each model proposed in this paper, we specify two parameters as a function of the remaining parameters. These models are fitted to two real insurance loss data sets and their goodness-of-fit is tested. We also present an application to risk measurements and compare the suitability of the models to empirical results. (C) 2014 Elsevier B.V. All rights reserved.

引用

页码：146 / 154

页数：9

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