The exponentiated Frechet regression: an alternative model for actuarial modelling purposes
Yükleniyor...
Dosyalar
Tarih
2016
Yazarlar
Dergi Başlığı
Dergi ISSN
Cilt Başlığı
Yayıncı
Taylor & Francis Ltd
Erişim Hakkı
info:eu-repo/semantics/closedAccess
Özet
In this paper we introduce the exponentiated Frechet regression for modelling positive responses having a long-tailed distribution in a regression model, which are common in actuarial statistics. We propose two parameterizations each of which links the regression parameters with the explanatory variables. We then discuss the maximum likelihood estimation of the parameters both theoretically and empirically. In order to meet the needs of an actuary, closed-form expressions for certain risk measures for the exponentiated Frechet distribution are also derived. We employ the proposed model to a motorcycle claim size data set.
Açıklama
Anahtar Kelimeler
Exponentiated Gumbel distribution, generalized Frechet distribution, maximumlikelihood estimation, regression modelling, risk measures
Kaynak
Journal of Statistical Computation and Simulation
WoS Q Değeri
Q3
Scopus Q Değeri
Q2
Cilt
86
Sayı
17
