A special class of distorted premium principle based on an extension of the exponential-geometric distribution

Shovan Chowdhury () and Asok K Nanda
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Shovan Chowdhury: Indian Institute of Management Kozhikode
Asok K Nanda: Indian Institute of Science and Education Research, Kolkata.

No 188, Working papers from Indian Institute of Management Kozhikode

Abstract: In this paper a new probability density function with both unbounded and bounded support is presented. The new distribution, called modified exponential-geometric distribution arises from the exponential-geomeric distribution introduced by Adamidis and Loukas [1]. It presents a variety of shapes of density function and hazard rate function. The distribution with scale-transformed bounded support is considered as an alternative to the classical beta distribution and is shown to have an application in insurance. In particular, we suggest a special class of distorted premium principle based on this distribution and we compare it with the dual power premium principle. Moreover, the proposed distribution with unbounded support is used as a lifetime model and is considered as an attractive alternative to some existing models in the reliability literature.

Keywords: Distortion function; Hazard rate function; Maximum likelihood estimation; Monte-Carlo simulation (search for similar items in EconPapers)
Pages: 21 pages
Date: 2015
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Persistent link: https://EconPapers.repec.org/RePEc:iik:wpaper:188

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