Modeling insurance loss data using novel approach of moment exponential model: Inference, actuarial measures and application

Autor: Marwa M. Mohie El-Din, M.A. Meraou, Najwan Alsadat, Anoop Kumar, M.M. Abd El-Raouf, Mahmoud Mohamed Bahloul
Jazyk: angličtina
Rok vydání: 2024
Předmět:
Zdroj: Alexandria Engineering Journal, Vol 106, Iss , Pp 544-559 (2024)
Druh dokumentu: article
ISSN: 1110-0168
DOI: 10.1016/j.aej.2024.08.060
Popis: Asymmetrical probability models are helpful for analyzing skewed data sets since they allow you to describe the form of the distribution and anticipate the chance of extreme events. This article defines a novel approach to continuous moment exponential distribution called the exponentiated generalized moment exponential model. The extension has two additional parameters accounting for the distribution’s shape. We extend this distribution probability density, cumulative distribution, hazard rate, and survival functions and establish different key statistical properties. Parameter estimation is obtained using different procedures, notably maximum likelihood estimation, least square, and Bayesian methods. A Monte Carlo simulation experiment is conducted to assess parameter performance and indicator risk measures. This article examines two distinct actual data sets in order to highlight the significance of the proposed model as well as its application in a variety of settings. The new model is compared to a large number of well-known extensions that were developed by other businesses.
Databáze: Directory of Open Access Journals