On Modeling the Earthquake Insurance Data via a New Member of the T-X Family
Heavy-tailed distributions play an important role in modeling data in actuarial and financial sciences. In this article, a new method is suggested to define new distributions suitable for modeling data with a heavy right tail. The proposed method may be named as the Z-family of distributions. For il...
| Main Authors: | , , |
|---|---|
| Format: | Article |
| Language: | English |
| Published: |
Hindawi Limited
2020-01-01
|
| Series: | Computational Intelligence and Neuroscience |
| Online Access: | http://dx.doi.org/10.1155/2020/7631495 |
| Summary: | Heavy-tailed distributions play an important role in modeling data in actuarial and financial sciences. In this article, a new method is suggested to define new distributions suitable for modeling data with a heavy right tail. The proposed method may be named as the Z-family of distributions. For illustrative purposes, a special submodel of the proposed family, called the Z-Weibull distribution, is considered in detail to model data with a heavy right tail. The method of maximum likelihood estimation is adopted to estimate the model parameters. A brief Monte Carlo simulation study for evaluating the maximum likelihood estimators is done. Furthermore, some actuarial measures such as value at risk and tail value at risk are calculated. A simulation study based on these actuarial measures is also done. An application of the Z-Weibull model to the earthquake insurance data is presented. Based on the analyses, we observed that the proposed distribution can be used quite effectively in modeling heavy-tailed data in insurance sciences and other related fields. Finally, Bayesian analysis and performance of Gibbs sampling for the earthquake data have also been carried out. |
|---|---|
| ISSN: | 1687-5265 1687-5273 |