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Erscheinungsjahr: 
2019
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[Journal:] Risks [ISSN:] 2227-9091 [Volume:] 7 [Issue:] 4 [Article No.:] 99 [Publisher:] MDPI [Place:] Basel [Year:] 2019 [Pages:] 1-17
Verlag: 
MDPI, Basel
Zusammenfassung: 
In this paper, a new heavy-tailed distribution, the mixture Pareto-loggamma distribution, derived through an exponential transformation of the generalized Lindley distribution is introduced. The resulting model is expressed as a convex sum of the classical Pareto and a special case of the loggamma distribution. A comprehensive exploration of its statistical properties and theoretical results related to insurance are provided. Estimation is performed by using the method of log-moments and maximum likelihood. Also, as the modal value of this distribution is expressed in closed-form, composite parametric models are easily obtained by a mode matching procedure. The performance of both the mixture Pareto-loggamma distribution and composite models are tested by employing different claims datasets.
Schlagwörter: 
composite models
excess-of-loss reinsurance
loggamma distribution
pareto distribution
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