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Modeling with Weibull-Pareto models. (English) Zbl 1291.62186

Summary: We develop several composite Weibull-Pareto models and suggest their use to model loss payments and other forms of actuarial data. These models all comprise a Weibull distribution up to a threshold point, and some form of Pareto distribution thereafter. They are similar in spirit to some composite lognormal-Pareto models that have previously been considered in the literature. All of these models are applied, and their performance compared, in the context of a real-world fire insurance data set.

MSC:

62P05 Applications of statistics to actuarial sciences and financial mathematics
91B30 Risk theory, insurance (MSC2010)
91G70 Statistical methods; risk measures
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