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
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..View full abstract
Awarded by MICINN, Spain
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.