Next Article in Journal
Stable Value Funds Performance
Previous Article in Journal
Longevity Risk Management and the Development of a Value-Based Longevity Index
Article Menu
Issue 1 (March) cover image

Export Article

Open AccessArticle
Risks 2018, 6(1), 11; https://doi.org/10.3390/risks6010011

A Note on Parameter Estimation in the Composite Weibull–Pareto Distribution

Centre for Actuarial Studies, Department of Economics, The University of Melbourne, Melbourne, VIC 3010, Australia
Received: 4 January 2018 / Revised: 3 February 2018 / Accepted: 8 February 2018 / Published: 13 February 2018
Full-Text   |   PDF [393 KB, uploaded 13 February 2018]   |  

Abstract

Composite models have received much attention in the recent actuarial literature to describe heavy-tailed insurance loss data. One of the models that presents a good performance to describe this kind of data is the composite Weibull–Pareto (CWL) distribution. On this note, this distribution is revisited to carry out estimation of parameters via mle and mle2 optimization functions in R. The results are compared with those obtained in a previous paper by using the nlm function, in terms of analytical and graphical methods of model selection. In addition, the consistency of the parameter estimation is examined via a simulation study. View Full-Text
Keywords: loss distributions; composite models; risk measures; Weibull–Pareto distribution; Zipf plot loss distributions; composite models; risk measures; Weibull–Pareto distribution; Zipf plot
Figures

Figure 1

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).
SciFeed

Share & Cite This Article

MDPI and ACS Style

Calderín-Ojeda, E. A Note on Parameter Estimation in the Composite Weibull–Pareto Distribution. Risks 2018, 6, 11.

Show more citation formats Show less citations formats

Note that from the first issue of 2016, MDPI journals use article numbers instead of page numbers. See further details here.

Related Articles

Article Metrics

Article Access Statistics

1

Comments

[Return to top]
Risks EISSN 2227-9091 Published by MDPI AG, Basel, Switzerland RSS E-Mail Table of Contents Alert
Back to Top