Document Type

Article

Language

eng

Publication Date

2019

Publisher

University of the Punjab

Source Publication

Pakistan Journal of Statistics and Operation Research

Source ISSN

1816-2711

Abstract

Actuaries are often in search of finding an adequate loss model in the scenario of actuarial and financial risk management problems. In this work, we propose a new approach to obtain a new class of loss distributions. A special sub-model of the proposed family, called the Weibull-loss model is considered in detail. Some mathematical properties are derived and maximum likelihood estimates of the model parameters are obtained. Certain characterizations of the proposed family are also provided. A simulation study is done to evaluate the performance of the maximum likelihood estimators. Finally, an application of the proposed model to the vehicle insurance loss data set is presented.

Comments

Published version. Pakistan Journal of Statistics and Operation Research, Vol. 15, No. 3 (2019): 731-744. DOI. © 2019 University of the Punjab. Used with permission.

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