On Composite Models: Weibull-Pareto and Lognormal-Pareto. - A comparative study -

Vasile Preda and Roxana Ciumara
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Roxana Ciumara: Lecturer, Department of Mathematics, Academy of Economic Studies, Bucharest

Journal for Economic Forecasting, 2006, vol. 3, issue 2, 32-46

Abstract: In this paper we make a comparison between two composite models: lognormal-Pareto and Weibull-Pareto. The first one was introduced by Cooray and Ananda in 2005. The second composite distribution was constructed in the same manner as lognormal-Pareto. Here, we prove that these models behave similarly and they could be used in insurance bussiness for modelling actuarial data, especially in the cases where one deals with large loss payments.

Keywords: composite models; lognormal, Weibull and Pareto distributions; maximum likelihood estimation; smooth empirical estimation of percentils. (search for similar items in EconPapers)
JEL-codes: C16 (search for similar items in EconPapers)
Date: 2006
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Citations: View citations in EconPapers (2)

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