MODELLING INSURANCE DATA WITH THE PARETO ARCTAN DISTRIBUTION
Emilio Gomez-Deniz, Enrique Calderin-Ojeda
ASTIN BULLETIN | CAMBRIDGE UNIV PRESS | Published : 2015
In this paper, a new methodology based on the use of the inverse of the circular tangent function that allows us to add a scale parameter (say α) to an initial survival function is presented. The latter survival function is determined as limiting case when α tends to zero. By choosing as parent the classical Pareto survival function, the Pareto ArcTan (PAT) distribution is obtained. After providing a comprehensive analysis of its statistical properties, theoretical results with reference to insurance are illustrated. Its performance is compared, by means of the well-known Norwegian fire insurance data, with other existing heavy-tailed distributions in the literature such as Pareto, Stoppa, S..View full abstract
Awarded by Ministerio de Economia y Competitividad, Spain
The authors would like to express their gratitude to two anonymous referees for their relevant and useful comments. Authors are funded by grant ECO2013-47092 (Ministerio de Economia y Competitividad, Spain). EGD also acknowledges the Faculty of Business and Economics and the Centre of Actuarial Studies at the University of Melbourne for their special support, since part of this paper was written while EGD was visiting the University of Melbourne in July 2014.