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A bivariate extension of three-parameter generalized crack distribution for loss severity modelling
- Authors
- Bae, Taehan; Choi, Yang Ho
- Issue Date
- Jun-2022
- Publisher
- 한국통계학회
- Keywords
- Birnbaum-Saunders distribution; Generalized crack distribution; Measures of association; Bivariate value-at-risk; Catastrophic loss
- Citation
- Journal of the Korean Statistical Society, v.51, no.2, pp 378 - 402
- Pages
- 25
- Indexed
- SCIE
SCOPUS
KCICANDI
- Journal Title
- Journal of the Korean Statistical Society
- Volume
- 51
- Number
- 2
- Start Page
- 378
- End Page
- 402
- ISSN
- 1226-3192
1876-4231
- 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.
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Related Researcher
- Choi, Yang Ho
- COLLEGE OF BUSINESS AND ECONOMICS (DEPARTMENT OF ACTUARIAL SCIENCE)