Table of Contents
Risks, Volume 5, Issue 4 (December 2017)
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Cover Story (view full-size image) The double Pareto lognormal distribution is sufficiently flexible to model heavy tails and skewness [...] Read more. The double Pareto lognormal distribution is sufficiently flexible to model heavy tails and skewness in insurance claim data, evident in the accompanying graph. Embodying this distribution in a generalized linear model provides a powerful tool for modelling insurance claims emanating from a variety of risk factors. The EM algorithm developed in our paper allows the parameters of the model to be estimated using the formulae below, often more easily than for the more commonly used generalized beta distribution of the second kind. View this paper