A Family of Loss Distributions with an Application to the Vehicle Insurance Loss Data | [Pakistan Journal of Statistics and Operation Research • 2019]

Author(s):

1. Zubair Ahmad: Department of Statistics, Yazd University, P.O. Box 89175-741, Yazd, Iran

2. Eisa Mahmoudi: Department of Statistics, Yazd University, P.O. Box 89175-741, Yazd, Iran

3. G.G. Hamedani: Department of Mathematics, Statistics and Computer Science, Marquette University, WI 53201-1881, Milwaukee, USA

Abstract:

Actuaries are often in search of nding an adequate loss model in the scenario of actuarial and nancial risk management problems. In this work, we propose a new approach to obtain a new class of loss distributions. A special sub-model of the proposed family, called the Weibull-loss model is considered in detail. Some mathematical properties are derived and maximum likelihood estimates of the model parameters are obtained. Certain characterizations of the proposed family are also provided. A simulation study is done to evaluate the performance of the maximum likelihood estimators. Finally, an application of the proposed model to the vehicle insurance loss data set is presented.

Page(s): 731-744

DOI: DOI not available

Published: Journal: Pakistan Journal of Statistics and Operation Research, Volume: 15, Issue: 3, Year: 2019

Keywords:

Weibull distribution , Estimation , Family of distributions , Heavy tailed distributions , Vehicle insurance losses

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