Modeling claims data with composite Stoppa models

Enrique Calderín-Ojeda and Chun Fung Kwok

Scandinavian Actuarial Journal, 2016, vol. 2016, issue 9, 817-836

Abstract: In this paper, a new class of composite model is proposed for modeling actuarial claims data of mixed sizes. The model is developed using the Stoppa distribution and a mode-matching procedure. The use of the Stoppa distribution allows for more flexibility over the thickness of the tail, and the mode-matching procedure gives a simple derivation of the model compositing with a variety of distributions. In particular, the Weibull–Stoppa and the Lognormal–Stoppa distributions are investigated. Their performance is compared with existing composite models in the context of the well-known Danish fire insurance data-set. The results suggest the composite Weibull–Stoppa model outperforms the existing composite models in all seven goodness-of-fit measures considered.

Date: 2016
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Citations: View citations in EconPapers (4)

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DOI: 10.1080/03461238.2015.1034763

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