Generalizing the log-Moyal distribution and regression models for heavy tailed loss data
Abstract
Catastrophic loss data are known to be heavy-tailed. Practitioners then need models that are able to capture both tail and modal parts of claim data. To this purpose, a new parametric family of loss distributions is proposed as a gamma mixture of the generalized log-Moyal distribution from Bhati and Ravi (2018), termed the generalized log-Moyal gamma distribution (GLMGA). We discuss the probabilistic characteristics of the GLMGA, and statistical estimation of the parameters through maximum likelihood. While the GLMGA distribution is a special case of the GB2 distribution, we show that this simpler model is effective in regression modelling of large and modal loss data. A fire claim data set reported in Cummins et al. (1990) and a Chinese earthquake loss data set are used to illustrate the applicability of the proposed model.
Cite
@article{arxiv.1912.09560,
title = {Generalizing the log-Moyal distribution and regression models for heavy tailed loss data},
author = {Zhengxiao Li and Jan Beirlant and Shengwang Meng},
journal= {arXiv preprint arXiv:1912.09560},
year = {2019}
}
Comments
30 pages, 12 figures