Journal
SCANDINAVIAN ACTUARIAL JOURNAL
Volume -, Issue 9, Pages 817-836Publisher
TAYLOR & FRANCIS LTD
DOI: 10.1080/03461238.2015.1034763
Keywords
Stoppa distribution; Lognormal distribution; Weibull distribution; Danish fire losses; spliced model; goodness-of-fit; composite model; bootstrap
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Funding
- University of Melbourne ECR
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In this paper, a new class of composite model is proposed for modeling actuarial claims data of mixed sizes. The model is developed using the Stoppa distribution and a mode-matching procedure. The use of the Stoppa distribution allows for more flexibility over the thickness of the tail, and the mode-matching procedure gives a simple derivation of the model compositing with a variety of distributions. In particular, the Weibull-Stoppa and the Lognormal-Stoppa distributions are investigated. Their performance is compared with existing composite models in the context of the well-known Danish fire insurance data-set. The results suggest the composite Weibull-Stoppa model outperforms the existing composite models in all seven goodness-of-fit measures considered.
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