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On Composite Models: Weibull-Pareto and Lognormal-Pareto. - A comparative study -

Author

Listed:
  • Preda, Vasile

    (Professor, Faculty of Mathematics and Informatics, Bucharest University)

  • Ciumara, Roxana

    (Lecturer, Department of Mathematics, Academy of Economic Studies, Bucharest)

Abstract

In this paper we make a comparison between two composite models: lognormal-Pareto and Weibull-Pareto. The first one was introduced by Cooray and Ananda in 2005. The second composite distribution was constructed in the same manner as lognormal-Pareto. Here, we prove that these models behave similarly and they could be used in insurance bussiness for modelling actuarial data, especially in the cases where one deals with large loss payments.

Suggested Citation

  • Preda, Vasile & Ciumara, Roxana, 2006. "On Composite Models: Weibull-Pareto and Lognormal-Pareto. - A comparative study -," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 3(2), pages 32-46, June.
    • Handle: RePEc:rjr:romjef:v:3:y:2006:i:2:p:32-46
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    References listed on IDEAS

    as
    1. McNeil, Alexander J., 1997. "Estimating the Tails of Loss Severity Distributions Using Extreme Value Theory," ASTIN Bulletin, Cambridge University Press, vol. 27(1), pages 117-137, May.
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    Cited by:

    1. Muhammad Hilmi Abdul Majid & Kamarulzaman Ibrahim & Nurulkamal Masseran, 2023. "Three-Part Composite Pareto Modelling for Income Distribution in Malaysia," Mathematics, MDPI, vol. 11(13), pages 1-15, June.
    2. Kartik Sethi & Siddhartha P. Chakrabarty, 2021. "Modeling premiums of non-life insurance companies in India," Papers 2106.02446, arXiv.org.

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    More about this item

    Keywords

    composite models; lognormal; Weibull and Pareto distributions; maximum likelihood estimation; smooth empirical estimation of percentils.;
    All these keywords.

    JEL classification:

    • C16 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Econometric and Statistical Methods; Specific Distributions

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