On Modeling the Earthquake Insurance Data via a New Member of the T-X Family

Abstract EN

Heavy-tailed distributions play an important role in modeling data in actuarial and financial sciences.

In this article, a new method is suggested to define new distributions suitable for modeling data with a heavy right tail.

The proposed method may be named as the Z-family of distributions.

For illustrative purposes, a special submodel of the proposed family, called the Z-Weibull distribution, is considered in detail to model data with a heavy right tail.

The method of maximum likelihood estimation is adopted to estimate the model parameters.

A brief Monte Carlo simulation study for evaluating the maximum likelihood estimators is done.

Furthermore, some actuarial measures such as value at risk and tail value at risk are calculated.

A simulation study based on these actuarial measures is also done.

An application of the Z-Weibull model to the earthquake insurance data is presented.

Based on the analyses, we observed that the proposed distribution can be used quite effectively in modeling heavy-tailed data in insurance sciences and other related fields.

Finally, Bayesian analysis and performance of Gibbs sampling for the earthquake data have also been carried out.