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Comput Intell Neurosci ; 2020: 7631495, 2020.
Artículo en Inglés | MEDLINE | ID: mdl-33014029

RESUMEN

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.


Asunto(s)
Teorema de Bayes , Terremotos/economía , Terremotos/estadística & datos numéricos , Seguro/estadística & datos numéricos , Método de Montecarlo , Distribuciones Estadísticas
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