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Bayesian estimators of the lognormal–Pareto composite distribution

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  • Kahadawala Cooray
  • Chin-I Cheng

Abstract

In this paper, Bayesian methods with both Jeffreys and conjugate priors for estimating parameters of the lognormal–Pareto composite (LPC) distribution are considered. With Jeffreys prior, the posterior distributions for parameters of interest are derived and their properties are described. The conjugate priors are proposed and the conditional posterior distributions are provided. In addition, simulation studies are performed to obtain the upper percentage points of Kolmogorov–Smirnov and Anderson–Darling test statistics. Furthermore, these statistics are used to compare Bayesian and likelihood estimators. In order to clarify and advance the validity of Bayesian and likelihood estimators of the LPC distribution, well-known Danish fire insurance data-set is reanalyzed.

Suggested Citation

  • Kahadawala Cooray & Chin-I Cheng, 2015. "Bayesian estimators of the lognormal–Pareto composite distribution," Scandinavian Actuarial Journal, Taylor & Francis Journals, vol. 2015(6), pages 500-515, August.
    • Handle: RePEc:taf:sactxx:v:2015:y:2015:i:6:p:500-515
    DOI: 10.1080/03461238.2013.853368
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    Cited by:

    1. Shi, Yue & Punzo, Antonio & Otneim, Håkon & Maruotti, Antonello, 2023. "Hidden semi-Markov models for rainfall-related insurance claims," Discussion Papers 2023/17, Norwegian School of Economics, Department of Business and Management Science.

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