A Pareto scale-inflated outlier model and its Bayesian analysis

David P.M. Scollnik

Scandinavian Actuarial Journal, 2015, vol. 2015, issue 3, 201-220

Abstract: This paper develops a Pareto scale-inflated outlier model. This model is intended for use when data from some standard Pareto distribution of interest is suspected to have been contaminated with a relatively small number of outliers from a Pareto distribution with the same shape parameter but with an inflated scale parameter. The Bayesian analysis of this Pareto scale-inflated outlier model is considered and its implementation using the Gibbs sampler is discussed. The paper contains three worked illustrative examples, two of which feature actual insurance claims data.

Date: 2015
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DOI: 10.1080/03461238.2013.807469

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