Modeling claims data with composite Stoppa models |
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Authors: | Enrique Calderín-Ojeda Chun Fung Kwok |
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Institution: | 1. Department of Economics, Centre for Actuarial Studies, University of Melbourne, Melbourne, Australia.;2. Department of Mathematics and Statistics, University of Melbourne, Melbourne, Australia. |
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Abstract: | In this paper, a new class of composite model is proposed for modeling actuarial claims data of mixed sizes. The model is developed using the Stoppa distribution and a mode-matching procedure. The use of the Stoppa distribution allows for more flexibility over the thickness of the tail, and the mode-matching procedure gives a simple derivation of the model compositing with a variety of distributions. In particular, the Weibull–Stoppa and the Lognormal–Stoppa distributions are investigated. Their performance is compared with existing composite models in the context of the well-known Danish fire insurance data-set. The results suggest the composite Weibull–Stoppa model outperforms the existing composite models in all seven goodness-of-fit measures considered. |
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Keywords: | Stoppa distribution Lognormal distribution Weibull distribution Danish fire losses spliced model goodness-of-fit composite model bootstrap |
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