Ahmed Z. Afify
Asst. Professor
The arcsine exponentiated-X family: validation and insurance application.
Complexity • 2020
Publication Information
Authors
He, W., Ahmad, Z., Afify, A. Z. and Goual, H.
Keywords
Not Available
Journal
Complexity
Publisher
Not Available
Volume
2020
Issue
Not Available
Pages
1-18
publication.type
International
Paper Link
Open Link
Supplementary Materials
Not Available
Abstract
In this paper, we propose a family of heavy tailed distributions, by incorporating a trigonometric function called the arcsine exponentiated-X family of distributions. Based on the proposed approach a three-parameter extension of the Weibull distribution called the arcsine exponentiated-Weibull (ASE-W) distribution is studied in detail. Maximum likelihood is used to estimate the model parameters and its performance is evaluated by two simulation studies. Actuarial measures including Value at Risk and Tail Value at Risk are derived for the ASE-W distribution. Further, a numerical study of theses measures is conducted proving that the proposed ASE-W distribution has a heavier tail than the baseline Weibull distribution. These actuarial measures are also estimated form insurance claims real data for the ASE-W and other competing distributions. The usefulness and flexibility of the proposed model is proved by analyzing a real-life heavy tailed insurance claims data. We construct a modifed chi-squared goodness-of-ft test based on the Nikulin-Rao-Robson statistic to verify the validity of the proposed ASE-W model. The modifed test shows that the ASE-W model can be used as a good candidate for analyzing heavy tailed insurance claims data.
