A New Generalization of the Pareto Distribution and Its Application to Insurance Data

被引：16

作者：

Ghitany, Mohamed E. ^{[1
]}

Gomez-Deniz, Emilio ^{[2
,3
]}

Nadarajah, Saralees ^{[4
]}

机构：

[1] Kuwait Univ, Fac Sci, Dept Stat & Operat Res, Safat 13060, Kuwait

[2] Univ Las Palmas Gran Canaria, Dept Quantitat Methods, Gran Canaria 35017, Spain

[3] Univ Las Palmas Gran Canaria, TiDES Inst, Gran Canaria 35017, Spain

[4] Univ Manchester, Sch Math, Manchester M13 9PL, Lancs, England

来源：

JOURNAL OF RISK AND FINANCIAL MANAGEMENT | 2018年 / 11卷 / 01期

关键词：

gamma distribution; estimation; financial risk; fit; pareto distribution;

D O I：

10.3390/jrfm11010010

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

The Pareto classical distribution is one of the most attractive in statistics and particularly in the scenario of actuarial statistics and finance. For example, it is widely used when calculating reinsurance premiums. In the last years, many alternative distributions have been proposed to obtain better adjustments especially when the tail of the empirical distribution of the data is very long. In this work, an alternative generalization of the Pareto distribution is proposed and its properties are studied. Finally, application of the proposed model to the earthquake insurance data set is presented.

引用

页数：14

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