361
Views
11
CrossRef citations to date
0
Altmetric
Articles

Bayesian estimators of the lognormal–Pareto composite distribution

&
Pages 500-515 | Accepted 04 Oct 2013, Published online: 02 Dec 2013

References

  • Beirlant, J., Teugels, J. L. & Vynckier, P. (1996). Practical analysis of extreme values. Leuven: Leuven University Press.
  • Beirlant, J., Joossens, E. & Segers, J. (2004). Generalized Pareto fit to the society of actuaries’ large claims database. North American Actuarial Journal 8, 108–111.
  • Cooray, K. (2009). The Weibull-Pareto composite family with applications to the analysis of unimodal failure rate data. Communications in Statistics -- Theory and Methods 38, 1901–1915.
  • Cooray, K. & Ananda, M. A. (2005). Modeling actuarial data with a composite lognormal--Pareto model. Scandinavian Actuarial Journal 5, 321–334.
  • D’Agostino, R. B. & Stephens, M. A. (1986). Goodness-of-fit techniques. New York: Marcel Dekker.
  • Erdélyi, A., Magnus, W., Oberhettinger, F. & Tricomi, F. G. (1954). Tables of integral transforms. New York: McGraw-Hill.
  • Gelman, A., Carlin, J. B., Sternand, H. S. & Rubin, D. B. (2003). Bayesian data analysis. 2nd ed. Boca Raton: Chapman and Hall.
  • Hogg, R. V. & Klugman, S. A. (1984). Loss distributions. New York: John Wiley.
  • Hossack, I. B., Pollard, J. H. & Zehnwirth, B. (1983). Introductory statistics with applications in general insurance. Cambridge: Cambridge University Press.
  • Jeffreys, H. (1961). Theory of probability. 3rd ed. London: Oxford University Press.
  • Klugman, S. A., Panjer, H. H. & Willmot, G. E. (1998). Loss models from data to decisions. New York: John Wiley.
  • Lehmann, E. L. & Casella, G. (1998). Theory of point estimation. New York: Springer.
  • McNeil, A. (1997). Estimating the tails of loss severity distributions using extreme value theory. ASTIN Bulletin 27, 117–137.
  • Patrik, G. (1980). Estimating casualty insurance loss amount distributions. Proceedings of the Casualty Actuarial Society LXVII, 57–109.
  • Pigeon, M. & Denuit, M. (2011). Composite lognormal--Pareto model with random threshold. Scandinavian Actuarial Journal 10, 177–192.
  • Preda, V. & Ciumara, R. (2006). On composite models: Weibull--Pareto and lognormal--Pareto. -A comparative study-. Romanian Journal of Economic Forecasting 3, 32–46.
  • Resnick, S. I. (1997). Discussion of the Danish data on large fire insurance losses. ASTIN Bulletin 27, 139–151.
  • Scollnik, D. P. M. (2007). On composite lognormal--Pareto models. Scandinavian Actuarial Journal 7, 20–33.
  • Scollnik, D. P. M. & Sun, C. (2012). Modeling with Weibull--Pareto models. North American Actuarial Journal 16, 260–272.
  • Teodorescu, S. (2010). On the truncated composite lognormal--Pareto model. Mathematical Reports (Bucureşti.) 12, 71–84.
  • Teodorescu, S. & Panaitescu, E. (2009). On the truncated composite Weibull--Pareto model. Mathematical Reports (Bucureşti.) 11, 259–273.
  • Teodorescu, S. & Vernic, R. (2009). Some composite exponential--Pareto models for actuarial prediction. Romanian Journal of Economic Forecasting 12, 82–100.
  • Zellner, A. (1971). Bayesian and non-Bayesian analysis of the log-normal distribution and log-normal regression. Journal of the American Statistical Association 66, 327–330.

Reprints and Corporate Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

To request a reprint or corporate permissions for this article, please click on the relevant link below:

Academic Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

Obtain permissions instantly via Rightslink by clicking on the button below:

If you are unable to obtain permissions via Rightslink, please complete and submit this Permissions form. For more information, please visit our Permissions help page.