Journal article

Modeling claims data with composite Stoppa models

E Calderín-Ojeda, CF Kwok

Scandinavian Actuarial Journal | Taylor & Francis | Published : 2016

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..

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