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J. Risk Financial Manag. 2018, 11(1), 10; https://doi.org/10.3390/jrfm11010010

A New Generalization of the Pareto Distribution and Its Application to Insurance Data

1
Department of Statistics and Operations Research, Faculty of Science, Kuwait University, Safat 13060, Kuwait
2
Department of Quantitative Methods and TiDES Institute, University of Las Palmas de Gran Canaria, 35017 Gran Canaria, Spain
3
School of Mathematics, University of Manchester, Manchester M13 9PL, UK
*
Author to whom correspondence should be addressed.
Received: 26 November 2017 / Revised: 28 January 2018 / Accepted: 2 February 2018 / Published: 7 February 2018
(This article belongs to the Special Issue Extreme Values and Financial Risk)
View Full-Text   |   Download PDF [341 KB, uploaded 7 February 2018]   |  

Abstract

The Pareto classical distribution is one of the most attractive in statistics and particularly in the scenario of actuarial statistics and finance. For example, it is widely used when calculating reinsurance premiums. In the last years, many alternative distributions have been proposed to obtain better adjustments especially when the tail of the empirical distribution of the data is very long. In this work, an alternative generalization of the Pareto distribution is proposed and its properties are studied. Finally, application of the proposed model to the earthquake insurance data set is presented. View Full-Text
Keywords: gamma distribution; estimation; financial risk; fit; pareto distribution gamma distribution; estimation; financial risk; fit; pareto distribution
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This is an open access article distributed under the Creative Commons Attribution License which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited. (CC BY 4.0).
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Ghitany, M.E.; Gómez-Déniz, E.; Nadarajah, S. A New Generalization of the Pareto Distribution and Its Application to Insurance Data. J. Risk Financial Manag. 2018, 11, 10.

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