Composite Lognormal–Pareto model with random threshold

Mathieu Pigeon and Michel Denuit

Scandinavian Actuarial Journal, 2011, vol. 2011, issue 3, 177-192

Abstract: This paper further considers the composite Lognormal–Pareto model proposed by Cooray & Ananda (2005) and suitably modified by Scollnik (2007). This model is based on a Lognormal density up to an unknown threshold value and a Pareto density thereafter. Instead of using a single threshold value applying uniformly to the whole data set, the model proposed in the present paper allows for heterogeneity with respect to the threshold and let it vary among observations. Specifically, the threshold value for a particular observation is seen as the realization of a positive random variable and the mixed composite Lognormal–Pareto model is obtained by averaging over the population of interest. The performance of the composite Lognormal–Pareto model and of its mixed extension is compared using the well-known Danish fire losses data set.

Date: 2011
References: Add references at CitEc
Citations: View citations in EconPapers (4)

Downloads: (external link)
http://hdl.handle.net/10.1080/03461231003690754 (text/html)
Access to full text is restricted to subscribers.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:taf:sactxx:v:2011:y:2011:i:3:p:177-192

Ordering information: This journal article can be ordered from
http://www.tandfonline.com/pricing/journal/sact20

DOI: 10.1080/03461231003690754

Access Statistics for this article

Scandinavian Actuarial Journal is currently edited by Boualem Djehiche

More articles in Scandinavian Actuarial Journal from Taylor & Francis Journals
Bibliographic data for series maintained by Chris Longhurst ().