A new family of heavy tailed distributions with an application to the heavy tailed insurance loss data

• Published in: Communications in statistics. Simulation and computation Vol. 51; no. 8; pp. 4372 - 4395
• Main Authors: Ahmad, Zubair, Mahmoudi, Eisa, Dey, Sanku
• Format: Journal Article
• Language: English
• Published: Philadelphia Taylor & Francis 03.08.2022; Taylor & Francis Ltd
• Subjects: Actuarial measures; Estimation; Heavy tailed distributions; Insurance; Insurance losses; Maximum likelihood estimators; Monte Carlo simulation; Risk management; Statistical analysis; Statistical models; Weibull distribution

Heavy tailed distributions play very significant role in the study of actuarial and financial risk management data but the probability distributions proposed to model such data are scanty. Actuaries often search for new and appropriate statistical models to address data related to financial risk pro...