Contaminated Exponential Dispersion Loss Models

Zinoviy Landsman and Udi Makov

North American Actuarial Journal, 2003, vol. 7, issue 2, 116-127

Abstract: A new family of contaminated exponential dispersion loss models is defined and some of its properties are examined. These models offer a wider family of loss distributions, allowing the modeling of extreme claims. Their usefulness is illustrated with real data.

Date: 2003
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DOI: 10.1080/10920277.2003.10596093

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