Journal article

A Suitable Alternative to the Pareto Distribution

Emilio Gomez-Deniz, Enrique Calderin-Ojeda

Hacettepe Journal of Mathematics and Statistics | HACETTEPE UNIV, FAC SCI | Published : 2014

Abstract

Undoubtedly, the single parameter Pareto distribution is one of the most attractive distribution in statistics; a power law probability distribution found in a large number of real-world situations inside and outside the field of economics. Furthermore, it is usually used as a basis for excess of loss quotations as it gives a pretty good description of the random behaviour of large losses. In this paper, we introduce a distribution which can be considered as alternative to the single parameter Pareto distribution. A comprehensive treatment of its mathematical properties is considered with relevant emphasis on results concerning insurance. Additionally, estimation by the method of moments and..

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University of Melbourne Researchers

Grants

Awarded by MICINN, Spain


Funding Acknowledgements

EGD was partially supported by ECO2009-14152 (MICINN, Spain). The authors are indebted to the two anonymous referees for helpful comments and suggestions which, without doubt, helped to improve an earlier version of the paper.