The exponential T-X family of distributions: properties and an application to insurance data (Q2036067): Difference between revisions

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Latest revision as of 01:37, 26 July 2024

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The exponential T-X family of distributions: properties and an application to insurance data
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    The exponential T-X family of distributions: properties and an application to insurance data (English)
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    28 June 2021
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    Summary: Heavy-tailed distributions play a prominent role in actuarial and financial sciences. In this paper, we introduce a family of distributions that we refer to as exponential T-X (ETX) family. Based on the proposed approach, a new extension of the Weibull model is introduced. The proposed model is very flexible in modeling heavy-tailed data. Some mathematical properties are derived, and maximum likelihood estimates of the model parameters are obtained. A Monte Carlo simulation study is conducted to evaluate the performance of the maximum likelihood estimators. Actuarial measures such as value at risk and tail value at risk are also calculated. A simulation study based on these actuarial measures is provided. Finally, an application to a heavy-tailed automobile insurance claim data set is presented. The proposed model is compared with some well-known competing distributions.
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