Economics - Research Publications

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End date: 2022 × Type: Journal Article × Author: Calderin, Enrique × Author: Kwok, Chun Fung ×

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    Modeling claims data with composite Stoppa models
    Calderín-Ojeda, E ; Kwok, CF (Taylor & Francis, 2016)
    In this paper, a new class of composite model is proposed for modeling actuarial claims data of mixed sizes. The model is developed using the Stoppa distribution and a mode-matching procedure. The use of the Stoppa distribution allows for more flexibility over the thickness of the tail, and the mode-matching procedure gives a simple derivation of the model compositing with a variety of distributions. In particular, the Weibull–Stoppa and the Lognormal–Stoppa distributions are investigated. Their performance is compared with existing composite models in the context of the well-known Danish fire insurance data-set. The results suggest the composite Weibull–Stoppa model outperforms the existing composite models in all seven goodness-of-fit measures considered.