Main Article Content
Abstract
Actuaries are often in search of nding an adequate loss model in the scenario of actuarial and financial risk management problems. In this work, we propose a new approach to obtain a new class of loss distributions. A special sub-model of the proposed family, called the Weibull-loss model is
considered in detail. Some mathematical properties are derived and maximum likelihood estimates of the model parameters are obtained. Certain characterizations of the proposed family are also provided. A simulation study is done to evaluate the performance of the maximum likelihood estimators. Finally, an application of the proposed model to the vehicle insurance loss data set is presented.
considered in detail. Some mathematical properties are derived and maximum likelihood estimates of the model parameters are obtained. Certain characterizations of the proposed family are also provided. A simulation study is done to evaluate the performance of the maximum likelihood estimators. Finally, an application of the proposed model to the vehicle insurance loss data set is presented.
Keywords
Family of distributions
Heavy tailed distributions
Weibull distribution
Vehicle insurance losses
Estimation.
Article Details

This work is licensed under a Creative Commons Attribution 4.0 International License.
Authors who publish with this journal agree to the following License
CC BY: This license allows reusers to distribute, remix, adapt, and build upon the material in any medium or format, so long as attribution is given to the creator. The license allows for commercial use.
How to Cite
Ahmad, Z. A., Mahmoudi, E. M., & Hamedani, G. G. (2019). A Family of Loss Distributions with an Application to the Vehicle Insurance Loss Data. Pakistan Journal of Statistics and Operation Research, 15(3), 731-744. https://doi.org/10.18187/pjsor.v15i3.2995