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A special class of distorted premium principle based on an extension of the exponential-geometric distribution

Author

Listed:
  • Shovan Chowdhury

    (Indian Institute of Management Kozhikode)

  • Asok K Nanda

    (Indian Institute of Science and Education Research, Kolkata.)

Abstract

In this paper a new probability density function with both unbounded and bounded support is presented. The new distribution, called modified exponential-geometric distribution arises from the exponential-geomeric distribution introduced by Adamidis and Loukas [1]. It presents a variety of shapes of density function and hazard rate function. The distribution with scale-transformed bounded support is considered as an alternative to the classical beta distribution and is shown to have an application in insurance. In particular, we suggest a special class of distorted premium principle based on this distribution and we compare it with the dual power premium principle. Moreover, the proposed distribution with unbounded support is used as a lifetime model and is considered as an attractive alternative to some existing models in the reliability literature.

Suggested Citation

  • Shovan Chowdhury & Asok K Nanda, 2015. "A special class of distorted premium principle based on an extension of the exponential-geometric distribution," Working papers 188, Indian Institute of Management Kozhikode.
    • Handle: RePEc:iik:wpaper:188
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    References listed on IDEAS

    as
    1. Felipe Gusmão & Edwin Ortega & Gauss Cordeiro, 2011. "The generalized inverse Weibull distribution," Statistical Papers, Springer, vol. 52(3), pages 591-619, August.
    2. Wang, Shaun, 1996. "Premium Calculation by Transforming the Layer Premium Density," ASTIN Bulletin, Cambridge University Press, vol. 26(1), pages 71-92, May.
    3. Adamidis, K. & Loukas, S., 1998. "A lifetime distribution with decreasing failure rate," Statistics & Probability Letters, Elsevier, vol. 39(1), pages 35-42, July.
    4. Gómez-Déniz, Emilio & Sordo, Miguel A. & Calderín-Ojeda, Enrique, 2014. "The Log–Lindley distribution as an alternative to the beta regression model with applications in insurance," Insurance: Mathematics and Economics, Elsevier, vol. 54(C), pages 49-57.
    5. Morais, Alice Lemos & Barreto-Souza, Wagner, 2011. "A compound class of Weibull and power series distributions," Computational Statistics & Data Analysis, Elsevier, vol. 55(3), pages 1410-1425, March.
    6. Kus, Coskun, 2007. "A new lifetime distribution," Computational Statistics & Data Analysis, Elsevier, vol. 51(9), pages 4497-4509, May.
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