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Estimation on composite lognormal-Pareto distribution based on doubly censored samples  

Lee, Kwang-Ho (Department of Statistics, Yeungnam University)
Publication Information
Journal of the Korean Data and Information Science Society / v.22, no.2, 2011 , pp. 171-177 More about this Journal
Abstract
With the development of the actuarial and insurance industries, the distributions of the insurance payments data are deeply studied by many authors. It is known that theses types of distribution are very highly positively skewed and have a long thick upper tail such as Pareto or lognormal distribution. In 2005, Cooray and Ananda proposed a new model which is composed lognormal distribution and Pareto distribution. They said it as composite lognormal-Preto distribution. They showed that the proposed distribution was better fitted than lognormal or Pareto distribution. On the other hand many agreements about the insurance payment have some options for a trivially small payment or extremely large one because of the limits of total payment. Appling these cases, in this paper we consider the parameter estimation on the composite lognormal-Pareto distribution based on doubly censored samples.
Keywords
Composite lognormal-Pareto distribution; doubly censored sample; lognormal distribution; Pareto distribution;
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