Data from University of Catania Provide New Insights into Insurance Economics (Compound unimodal distributions for insurance losses)

By a News Reporter-Staff News Editor at Insurance Weekly News -- Investigators discuss new findings in Economics - Insurance Economics. According to news originating from Catania, Italy, by VerticalNews correspondents, research stated, "The distribution of insurance losses has a positive support and is often unimodal hump-shaped, right-skewed and with heavy tails. In this work, we introduce a 3-parameter compound model to account for all these peculiarities."

Financial support for this research came from MIUR (Italian Ministry of Education, University and Scientific Research).

Our news journalists obtained a quote from the research from the University of Catania, "As conditional distribution, we consider a 2-parameter unimodal hump-shaped distribution with positive support, parameterized with respect to the mode and to another variability related parameter. The compound is performed by scaling the latter parameter by a convenient mixing distribution taking values on all or part of the positive real line and depending on a single parameter governing the tail behavior of the resulting compound distribution. Although any 2-parameter distribution can be considered to derive its compound version in our framework, for illustrative purposes we consider the unimodal gamma, the lognormal, and the inverse Gaussian. They are also used as mixing distributions: this guarantees that the un-compound distribution is nested in the compound model. A family of nine models arises by combining these choices. These models are applied on three famous insurance loss datasets and compared with several standard distributions used in the actuarial literature."

According to the news editors, the research concluded: "Comparison is made in terms of goodness-of-fit and through an analysis of the commonly used risk measures."

For more information on this research see: Compound unimodal distributions for insurance losses. Insurance Mathematics & Economics, 2018;81():95-107. Insurance Mathematics & Economics can be contacted at: Elsevier Science Bv, PO Box 211, 1000 Ae Amsterdam, Netherlands.

The news correspondents report that additional information may be obtained from A. Punzo, University of Catania, Dipartimento Econ & Impresa, Catania, Italy. Additional authors for this research include L. Bagnato and A. Maruotti.

The direct object identifier (DOI) for that additional information is: https://doi.org/10.1016/j.insmatheco.2017.10.007. This DOI is a link to an online electronic document that is either free or for purchase, and can be your direct source for a journal article and its citation.

Keywords for this news article include: Catania, Italy, Europe, Insurance Economics, Economics, University of Catania.

Our reports deliver fact-based news of research and discoveries from around the world. Copyright 2018, NewsRx LLC