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Abstract
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In this paper, a family of statistical models, namely, a new exponential-X family is proposed. A subcase of the introduced family,called the new exponential-Weibull (NE-Weibull) model, is studied. Te NE-Weibull model is very competent and possesses heavy-tailed properties. Te maximum likelihood estimators of its parameters are derived. Te consistency and efficiency of these estimators are assessed in a brief simulation study. Finally, the effectiveness of the NE-Weibull distribution is illustrated by modeling real insurance claims data. Te practical analysis shows that the NE-Weibull distribution outclassed other distributions and it can be a better choice for modeling data in the finance sector.
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