A bivariate extension of three-parameter generalized crack distribution for loss severity modelling
- Title
- A bivariate extension of three-parameter generalized crack distribution for loss severity modelling
- Author
- 최양호
- Keywords
- Birnbaum-Saunders distribution; Generalized crack distribution; Measures of association; Bivariate value-at-risk; Catastrophic loss
- Issue Date
- 2022-06
- Publisher
- 한국통계학회
- Citation
- Journal of the Korean Statistical Society, v. 51, NO. 2, Page. 378.0-402.0
- Abstract
- In this paper, we introduce a bivariate extension of three-parameter generalized crack distribution for modelling loss data. Some basic properties such as the conditional distribution and the measures of association are discussed, and a method of parameter estimation is offered. A simulation-based approach to compute bivariate value-at-risk under the model is also discussed. The proposed model and estimation method are illustrated with a model fitting exercise on a real catastrophic loss data set.
- URI
- https://link.springer.com/article/10.1007/s42952-021-00144-2https://repository.hanyang.ac.kr/handle/20.500.11754/187930
- ISSN
- 1226-3192;1876-4231
- DOI
- 10.1007/s42952-021-00144-2
- Appears in Collections:
- COLLEGE OF BUSINESS AND ECONOMICS[E](경상대학) > ACTUARIAL SCIENCE(보험계리학과) > Articles
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