A family of density-hazard distributions for insurance losses

Document Type

Article

Publication Date

10-3-2022

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.

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

Publication Title

Communications in Statistics: Simulation and Computation

Divisions

MathematicalSciences

Funders

Ministry of Higher Education, Malaysia under Fundamental Research Grant Scheme (FRGS) [Grant No: FP040-2017A]

Volume

51

Issue

10

Publisher

Taylor and Francis Ltd.

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