Please use this identifier to cite or link to this item: http://hdl.handle.net/10553/42921
Title: Modelling insurance data with the Pareto Arctan distribution
Authors: Gómez Déniz, Emilio 
Calderín Ojeda, Enrique
UNESCO Clasification: 1207 Investigación operativa
Keywords: Distribución
Issue Date: 2015
Publisher: 0515-0361
Journal: ASTIN Bulletin 
Abstract: In this paper, a new methodology based on the use of the inverse of the circular tangent function that allows us to add a scale parameter (say α) to an initial survival function is presented. The latter survival function is determined as limiting case when α tends to zero. By choosing as parent the classical Pareto survival function, the Pareto ArcTan (PAT) distribution is obtained. After providing a comprehensive analysis of its statistical properties, theoretical results with reference to insurance are illustrated. Its performance is compared, by means of the well-known Norwegian fire insurance data, with other existing heavy-tailed distributions in the literature such as Pareto, Stoppa, Shifted Lognormal, Inverse Gamma and Fréchet distributions.
URI: http://hdl.handle.net/10553/42921
ISSN: 0515-0361
DOI: 10.1017/asb.2015.9
Source: ASTIN Bulletin[ISSN 0515-0361],v. 45, p. 639-660
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