Abu Bakar, Shaiful Anuar and Nadarajah, S. and Ngataman, N. (2022) A family of density-hazard distributions for insurance losses. Communications in Statistics: Simulation and Computation, 51 (10). 5857 – 5875. ISSN 0361-0918, DOI https://doi.org/10.1080/03610918.2020.1784430.
Full text not available from this repository.Abstract
We propose a family of distributions as an alternative for a recent compound unimodal distribution for modeling insurance losses. The family of distributions, referred to as density-hazard distributions, has closed form density and distribution functions, hence easier to fit and simulate from. The distributions also show good adherence to insurance loss data and estimates risk measures relatively closely to the empirical values. In this respect, the practical use of the density-hazard distributions is demonstrated with the employment of three real insurance data including the U.S. indemnity insurance loss data, the U.S. automobile claims data, and the Norwegian fire losses data. © 2020 Taylor & Francis Group, LLC.
| Item Type: | Article |
|---|---|
| Funders: | Ministry of Higher Education, Malaysia under Fundamental Research Grant Scheme (FRGS) [Grant No: FP040-2017A] |
| Uncontrolled Keywords: | Distribution functions; Hazards; Risk assessment; Closed form; Compound unimodal distribution; Distribution-functions; Empirical values; Hazard distributions; Heavy-tailed distribution; Insurance loss; Practical use; Risk measures; Unimodal distribution; Insurance |
| Subjects: | H Social Sciences > HA Statistics |
| Divisions: | Faculty of Science > Institute of Mathematical Sciences |
| Depositing User: | Ms. Juhaida Abd Rahim |
| Date Deposited: | 20 Oct 2023 06:30 |
| Last Modified: | 20 Oct 2023 06:30 |
| URI: | http://eprints.um.edu.my/id/eprint/43735 |
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