Modeling with Weibull-Pareto Models |
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Authors: | David P M Scollnik ASA PhD Chenchen Sun MSc |
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Institution: | 1. Department of Mathematics and Statistics , University of Calgary , 2500 University Drive, N.W., Calgary , Alberta , Canada;2. Screening Program for Health Promotion, Disease and Injury Prevention at Alberta Health Services , 2210-2nd Street SW, Calgary , Alberta , Canada |
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Abstract: | Abstract In this paper we develop several composite Weibull-Pareto models and suggest their use to model loss payments and other forms of actuarial data. These models all comprise a Weibull distribution up to a threshold point, and some form of Pareto distribution thereafter. They are similar in spirit to some composite lognormal-Pareto models that have previously been considered in the literature. All of these models are applied, and their performance compared, in the context of a real-world fire insurance data set. |
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