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Applications of the Gb2 Family of Distributions in the Modeling Insurance Loss Processe

Author

Listed:
  • David Cummins, J.
  • Dionne, G.
  • Mcdonald, J.B.

Abstract

Ce Texte Suggere L'utilisation de la Famille des Distributions de Probabilites a Quatre Parametres, la Beta Generalisee du Deuxieme Type (Gb2) Pour Analyser les Pertes D'assurance. la Gb2 a Comme Cas Particulier les Distributions Log-Normale, Gamma et Weibull. Elle Comprend Egalement Comme Cas Particuliers la Burr et la Gamma Generalisee et Elle Est Tres Appropriee Pour Ameliorer L'estimation des Distributions Ayant des Queues Tres Epaisses. la Plupart des Membres de la Famille de Distribution Proposee Peuvent Etre Obtenus Par des Combinaisons de Distributions Bien Connues. les Resultats Demontrent Que des Faibles Differences Dans la Modelisation des Queues Peuvent Generer des Grandes Differences Dans le Calcul des Primes de Reassurance et Dans les Quantiles des Distributions des Pertes Assurees Totales.

Suggested Citation

  • David Cummins, J. & Dionne, G. & Mcdonald, J.B., 1988. "Applications of the Gb2 Family of Distributions in the Modeling Insurance Loss Processe," Cahiers de recherche 8838, Universite de Montreal, Departement de sciences economiques.
    • Handle: RePEc:mtl:montde:8838
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