Estimating Quantile Families of Loss Distributions for Non-Life Insurance Modelling via L-Moments

Estimating Quantile Families of Loss Distributions for Non-Life Insurance Modelling via L-Moments

This paper discusses different classes of loss models in non-life insurance settings. It then overviews the class of Tukey transform loss models that have not yet been widely considered in non-life insurance modelling, but offer opportunities to produce flexible skewness and kurtosis features often...

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Bibliographic Details
Main Authors: Gareth W. Peters, Wilson Ye Chen, Richard H. Gerlach
Format: Article
Language:English
Published: MDPI AG 2016-05-01
Series:Risks
Subjects:
L-moments
method of moments
quantile distributions
Tukey transformations
g-and-h distribution
g-and-k distribution
tail risk
loss distributions
Online Access:http://www.mdpi.com/2227-9091/4/2/14

Internet

http://www.mdpi.com/2227-9091/4/2/14

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