مشخصات پژوهش

خانه /A New Weighted Lindley Model ...
عنوان
A New Weighted Lindley Model with Applications to Extreme Historical Insurance Claims
نوع پژوهش مقالات در نشریات
کلیدواژه‌ها
extreme claim; Lindley model; mean-of-order P; peaks over a random threshold; value-at-risk; weighted models
چکیده
: In this paper, we propose a weighted Lindley (NWLi) model for the analysis of extreme historical insurance claims. It extends the classical Lindley distribution by incorporating a weight parameter, enabling more flexibility in modeling insurance claim severity. We provide a comprehensive theoretical overview of the new model and explore two practical applications. First, we investigate the mean-of-order P (MOOP(P) ) approach for quantifying the expected claim severity based on the NWLi model. Second, we implement a peaks over a random threshold (PORT) analysis using the value-at-risk metric to assess extreme claim occurrences under the new model. Further, we provide a simulation study to evaluate the accuracy of the estimators under various methods. The proposed model and its applications provide a versatile tool for actuaries and risk analysts to analyze and predict extreme insurance claim severity, offering insights into risk management and decision-making within the insurance industry.
پژوهشگران مراد علیزاده (نفر اول)، محمود افشاری (نفر دوم)، گاوس کردیرو (نفر سوم)، ضیاالرحمن رامکی (نفر چهارم)، جاویر ای کونتراس ریس (نفر پنجم)، فاطمه دیرنیک (نفر ششم به بعد)، هیثم یوسف (نفر ششم به بعد)