Some Composite ExponentialPareto Models for Actuarial Prediction
AbstractPrediction is a very important and not so easy task for an actuary. An insurance company needs predictions of the future claims in order to evaluate premiums, to assess its financial situation, probabilities of ruin, etc. Therefore, modeling the claims distribution is of great importance, but since this distribution is usually different from the classical ones (e.g. skewed and heavy tailed), researchers are trying to find new models that can fit better to insurance data. Such a composite model unifying a Lognormal and a Pareto distribution was introduced by Cooray and Ananda  and generalized by Scollnik . In this paper we go even further and study a composite model obtained from two arbitrary distributions, then exemplify it with the Exponential and Pareto distributions. Some properties and statistical inference are also presented.
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Bibliographic InfoArticle provided by Institute for Economic Forecasting in its journal Romanian Journal for Economic Forecasting.
Volume (Year): (2009)
Issue (Month): 4 (December)
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composite models; mixture models; Exponential and Pareto distributions; composite Exponential-Pareto models; parameter estimation;
Find related papers by JEL classification:
- C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
- G22 - Financial Economics - - Financial Institutions and Services - - - Insurance; Insurance Companies
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