A New Generalization of the Pareto Distribution and Its Application to Insurance Data

Mohamed E. Ghitany, Emilio Gómez-Déniz and Saralees Nadarajah
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Mohamed E. Ghitany: Department of Statistics and Operations Research, Faculty of Science, Kuwait University, Safat 13060, Kuwait
Emilio Gómez-Déniz: Department of Quantitative Methods and TiDES Institute, University of Las Palmas de Gran Canaria, 35017 Gran Canaria, Spain
Saralees Nadarajah: School of Mathematics, University of Manchester, Manchester M13 9PL, UK

JRFM, 2018, vol. 11, issue 1, 1-14

Abstract: The Pareto classical distribution is one of the most attractive in statistics and particularly in the scenario of actuarial statistics and finance. For example, it is widely used when calculating reinsurance premiums. In the last years, many alternative distributions have been proposed to obtain better adjustments especially when the tail of the empirical distribution of the data is very long. In this work, an alternative generalization of the Pareto distribution is proposed and its properties are studied. Finally, application of the proposed model to the earthquake insurance data set is presented.

Keywords: gamma distribution; estimation; financial risk; fit; pareto distribution (search for similar items in EconPapers)
JEL-codes: C E F2 F3 G (search for similar items in EconPapers)
Date: 2018
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (4)

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