Published in Romanian Journal of Economic Forecasting, volume 7 issue 2, 2006.
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In this paper we make a comparison between two composite models: lognormal-Pareto and Weibull-Pareto. The first one was introduced by Cooray and Ananda in 2005. The second composite distribution was constructed in the same manner as lognormal-Pareto. Here, we prove that these models behave similarly and they could be used in insurance bussiness for modelling actuarial data, especially in the cases where one deals with large loss payments.
composite models; lognormal, Weibull and Pareto distributions; maximum
likelihood estimation; smooth empirical estimation of percentils.
JEL Classification: C16