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Modelling insurance losses using contaminated generalised beta type-ii distribution
Recurso electrónico / electronic resource
MARC record
Tag12Value
LDR  00000cab a2200000 4500
001  MAP20180022630
003  MAP
005  20180717154922.0
008  180712e20180501bel|||p |0|||b|eng d
040  ‎$a‎​MAP‎$b‎​spa‎$d‎​MAP
084  ‎$a‎​6
24510‎$a‎​Modelling insurance losses using contaminated generalised beta type-ii distribution‎$c‎​J.S.K. Chan...[et al.]
520  ‎$a‎​The four-parameter distribution family, the generalised beta type-II (GB2), also known as the transformed beta distribution, has been proposed for modelling insurance losses. As special cases, this family nests many distributions with light and heavy tails, including the lognormal, gamma, Weibull, Burr and generalized gamma distributions. This paper extends the GB2 family to the contaminated GB2 family, which offers many flexible features, including bimodality and a wide range of skewness and kurtosis. Properties of the contaminated distribution are derived and evaluated in a simulation study and the suitability of the contaminated GB2 distribution for actuarial purposes is demonstrated through two real loss data sets. Analysis of tail quantiles for the data suggests large differences in extreme quantile estimates for different loss distribution assumptions, showing that the selection of appropriate distributions has a significant impact for insurance companies
650 4‎$0‎​MAPA20080602437‎$a‎​Matemática del seguro ‌
650 4‎$0‎​MAPA20080592042‎$a‎​Modelos matemáticos ‌
650 4‎$0‎​MAPA20080586447‎$a‎​Modelo estocástico ‌
650 4‎$0‎​MAPA20090025479‎$a‎​Distribución de pérdidas ‌
650 4‎$0‎​MAPA20080610333‎$a‎​Distribución de Weibull ‌
650 4‎$0‎​MAPA20080592011‎$a‎​Modelos actuariales ‌
700  ‎$0‎​MAPA20110013431‎$a‎​Chan, Jennifer S.K. ‌
7730 ‎$w‎​MAP20077000420‎$t‎​Astin bulletin‎$d‎​Belgium : ASTIN and AFIR Sections of the International Actuarial Association‎$x‎​0515-0361‎$g‎​01/05/2018 Volumen 48 Número 2 - mayo 2018 , p. 871-904