On generalized log-Moyal distribution: A new heavy tailed size distribution

Bhati, Deepesh and Ravi, Sreenivasan (2018) On generalized log-Moyal distribution: A new heavy tailed size distribution. Insurance: Mathematics and Economics, 79. 247 - 259. ISSN 0167-6687

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Official URL: https://doi.org/10.1016/j.insmatheco.2018.02.002


A new class of distributions, the generalized log-Moyal, suitable for modelling heavy tailed data is proposed in this article. This class exhibits desirable properties relevant to actuarial science and inference. The proposed distribution can be related to some well known distributions like Moyal, folded-normal and chi-square. Statistical inference of the model parameters is discussed using the method of quantiles and the method of maximum likelihood estimation. Three celebrated data sets, namely, Norwegian fire insurance losses, Danish fire insurance losses and vehicle insurance losses, are used to show the applicability of the new class of distributions. Parametric regression modelling is discussed assuming that the response variable follows the generalized log-Moyal distribution.

Item Type: Article
Uncontrolled Keywords: Danish fire insurance losses, Heavy tailed distributions, Limited expected value, Log-Moyal distribution, Norwegian fire insurance losses, Regression modelling, Vehicle insurance losses
Divisions: Department of > Statistics
Depositing User: Manjula P Library Assistant
Date Deposited: 11 Jul 2019 07:50
Last Modified: 11 Jul 2019 07:50
URI: http://eprints.uni-mysore.ac.in/id/eprint/5085

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