Abstract
In the insurance and reinsurance industry, Normal and LogNormal distributions are widely used to model loss ratios. This might lead to an underestimation of the tail. To address this problem we propose a new distribution which we call Czeledin distribution. It is a combination of a LogNormal and a Pareto distribution.
Volume
Berlin
Year
2003
Categories
Financial and Statistical Methods
Loss Distributions
Actuarial Applications and Methodologies
Ratemaking
Publications
ASTIN Colloquium
