On the Usefulness of the Logarithmic Skew Normal Distribution for Describing Claims Size Data

On the Usefulness of the Logarithmic Skew Normal Distribution for Describing Claims Size Data

In this paper, the three-parameter skew lognormal distribution is proposed to model actuarial data concerning losses. This distribution yields a satisfactory fit to empirical data in the whole range of the empirical distribution as compared to other distributions used in the actuarial statistics lit...

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Main Authors: E. Gómez–Déniz, E. Calderín-Ojeda
Format: Article
Language:English
Published: Hindawi Limited 2020-01-01
Series:Mathematical Problems in Engineering
Online Access:http://dx.doi.org/10.1155/2020/1420618
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spelling doaj-b24297e6ca614954a9eb38309f50b9182020-11-25T03:40:00ZengHindawi LimitedMathematical Problems in Engineering1024-123X1563-51472020-01-01202010.1155/2020/14206181420618On the Usefulness of the Logarithmic Skew Normal Distribution for Describing Claims Size DataE. Gómez–Déniz0E. Calderín-Ojeda1Department of Quantitative Methods in Economics and Tides Institute, University of Las Palmas de Gran Canaria, Las Palmas de Gran Canaria 35017, SpainCentre for Actuarial Studies, Department of Economics, The University of Melbourne, Melbourne, AustraliaIn this paper, the three-parameter skew lognormal distribution is proposed to model actuarial data concerning losses. This distribution yields a satisfactory fit to empirical data in the whole range of the empirical distribution as compared to other distributions used in the actuarial statistics literature. To the best of our knowledge, this distribution has not been used in insurance context and it might be suitable for computing reinsurance premiums in situations where the right tail of the empirical distribution plays an important role. Furthermore, a regression model can be simply derived to explain the response variable as a function of a set of explanatory variables.http://dx.doi.org/10.1155/2020/1420618
collection DOAJ
language English
format Article
sources DOAJ
author E. Gómez–Déniz
E. Calderín-Ojeda
spellingShingle E. Gómez–Déniz
E. Calderín-Ojeda
On the Usefulness of the Logarithmic Skew Normal Distribution for Describing Claims Size Data
Mathematical Problems in Engineering
author_facet E. Gómez–Déniz
E. Calderín-Ojeda
author_sort E. Gómez–Déniz
title On the Usefulness of the Logarithmic Skew Normal Distribution for Describing Claims Size Data
title_short On the Usefulness of the Logarithmic Skew Normal Distribution for Describing Claims Size Data
title_full On the Usefulness of the Logarithmic Skew Normal Distribution for Describing Claims Size Data
title_fullStr On the Usefulness of the Logarithmic Skew Normal Distribution for Describing Claims Size Data
title_full_unstemmed On the Usefulness of the Logarithmic Skew Normal Distribution for Describing Claims Size Data
title_sort on the usefulness of the logarithmic skew normal distribution for describing claims size data
publisher Hindawi Limited
series Mathematical Problems in Engineering
issn 1024-123X
1563-5147
publishDate 2020-01-01
description In this paper, the three-parameter skew lognormal distribution is proposed to model actuarial data concerning losses. This distribution yields a satisfactory fit to empirical data in the whole range of the empirical distribution as compared to other distributions used in the actuarial statistics literature. To the best of our knowledge, this distribution has not been used in insurance context and it might be suitable for computing reinsurance premiums in situations where the right tail of the empirical distribution plays an important role. Furthermore, a regression model can be simply derived to explain the response variable as a function of a set of explanatory variables.
url http://dx.doi.org/10.1155/2020/1420618
work_keys_str_mv AT egomezdeniz ontheusefulnessofthelogarithmicskewnormaldistributionfordescribingclaimssizedata
AT ecalderinojeda ontheusefulnessofthelogarithmicskewnormaldistributionfordescribingclaimssizedata
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