Abstract #302004

This is the preliminary program for the 2003 Joint Statistical Meetings in San Francisco, California. Currently included in this program is the "technical" program, schedule of invited, topic contributed, regular contributed and poster sessions; Continuing Education courses (August 2-5, 2003); and Committee and Business Meetings. This on-line program will be updated frequently to reflect the most current revisions.

To View the Program:
You may choose to view all activities of the program or just parts of it at any one time. All activities are arranged by date and time.

The views expressed here are those of the individual authors
and not necessarily those of the ASA or its board, officers, or staff.

Back to main JSM 2003 Program page
JSM 2003 Abstract #302004
Activity Number: 365
Type: Contributed
Date/Time: Wednesday, August 6, 2003 : 10:30 AM to 12:20 PM
Sponsor: Business & Economics Statistics Section
Abstract - #302004
Title: Modeling Insurance Data with a Composite Lognormal-Pareto Model
Author(s): Kahadawala Cooray*+ and Malwane M. A. Ananda
Companies: University of Nevada and University of Nevada
Address: Dept. of Mathematics, Las Vegas, NV, 89154,
Keywords: lognormal distribution ; Pareto distribution
Abstract:

The lognormal distribution and the Pareto distribution are commonly used to model insurance payments and loss data. These types of data are extremely positively skewed and distributed with a thick upper tail. Due to the heavy upper tails, Pareto distribution is often used to model the upper portion of payments and loss data. However, due to its shape, Pareto distribution does not provide a reasonable model for the full range of data. Therefore, the lognormal distribution is often used to model the full range of data. We model these payments data using a composite lognormal-pareto model, specifically a two-parameter lognormal density up to an unknown threshold value and a two-parameter Pareto density for the remaining half. Once the continuity and differentiability conditions are imposed, the resulting density is only a two-parameter density. We will discuss the properties and the parameter estimation of this new model and compare its performance with the other commonly used models.

  • The address information is for the authors that have a + after their name.
  • Authors who are presenting talks have a * after their name.

Back to the full JSM 2003 program

JSM 2003 For information, contact meetings@amstat.org or phone (703) 684-1221. If you have questions about the Continuing Education program, please contact the Education Department.
Revised March 2003