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arXiv · 1912.09560

Generalizing the log-Moyal distribution and regression models for heavy tailed loss data

Zhengxiao Li·Jan Beirlant·Shengwang Meng
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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.

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Zhengxiao Li, Jan Beirlant, Shengwang Meng. 2019-12-19. Generalizing the log-Moyal distribution and regression models for heavy tailed loss data. https://arxiv.org/abs/1912.09560

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