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Some Composite ExponentialPareto Models for Actuarial Prediction

Author

Listed:
  • Teodorescu, Sandra

    () (Faculty of Economic Sciences, Ecological University of Bucharest)

  • Vernic, Raluca

    () (Faculty of Mathematics and Computer Science, Ovidius University of Constanta)

Abstract

Prediction 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 [1] and generalized by Scollnik [6]. 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.

Suggested Citation

  • Teodorescu, Sandra & Vernic, Raluca, 2009. "Some Composite ExponentialPareto Models for Actuarial Prediction," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(4), pages 82-100, December.
  • Handle: RePEc:rjr:romjef:v::y:2009:i:4:p:82-100
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    Cited by:

    1. Rocco Roberto Cerchiara & Francesco Acri, 2016. "Aggregate Loss Distribution And Dependence: Composite Models, Copula Functions And Fast Fourier Transform For The Danish Re Insurance Data," Working Papers 201608, Università della Calabria, Dipartimento di Economia, Statistica e Finanza "Giovanni Anania" - DESF.

    More about this item

    Keywords

    composite models; mixture models; Exponential and Pareto distributions; composite Exponential-Pareto models; parameter estimation;

    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; Actuarial Studies

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