Financial and Actuarial Properties of the Beta-Pareto as a Long-Tail Distribution
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Emilio Gómez-Déniz [1] ; Enrique Calderín-Ojeda [2]
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[1] Universidad de Las Palmas de Gran Canaria
Universidad de Las Palmas de Gran Canaria
Gran Canaria, España
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[2] University of Melbourne
University of Melbourne
Australia
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- Localización: Spanish journal of statistics, ISSN-e 2695-9070, Nº. 2, 2020, págs. 7-21
- Idioma: inglés
- DOI: 10.37830/SJS.2020.1.02
- Enlaces
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Resumen
Undoubtedly, the single parameter Pareto distribution is one of the most attractive distribution in statistics; a power-law probability distribution that is found in a large number of real-world situations inside and outside the field of economics. Furthermore, it is usually used as a basis for excess of loss quotations as it gives a pretty good description of the random behaviour of large losses. In this paper, we provide properties of the Beta-Pareto distribution which can be useful in Economics, and in Financial and Actuarial fields, mainly related to the analysis of the tail of the distribution that makes it a candidate model for fitting actuarial data with extreme observations. As empirical applications two well-known data sources considered in general insurance are used to account for the suitability of the model.
