Title : ( Estimation of risk premium in the Pareto distribution with the presence of outliers )
Authors: Rahele Mollaye , Mehdi Jabbari Nooghabi ,
Full TextAbstract
The moment, credibility and shrinkage estimators of the Pareto parameter are derived in the presence of outliers and the estimators of the risk premium are considered. At the end, it is shown that the risk premium based on maximum likelihood estimator of parameter is the best. Finally, an actual example is considered to obtain the risk premium.
Keywords
, Pareto distribution, Maximum likelihood, Moment method, Credibility, Uniformly minimum variance unbiased, Shrinkage estimator, Outliers, Risk premium, Insurance.
@inproceedings{paperid:1092384,
author = {Mollaye, Rahele and Jabbari Nooghabi, Mehdi},
title = {Estimation of risk premium in the Pareto distribution with the presence of outliers},
booktitle = {The 29th National Conference and 10th International Conference on Insurance and Development (NCOID) with the main subject of ‘Knowledge-Based Development of the Insurance Industry},
year = {2022},
location = {تهران, IRAN},
keywords = {Pareto distribution; Maximum likelihood; Moment method; Credibility; Uniformly
minimum variance unbiased; Shrinkage estimator; Outliers; Risk premium; Insurance.},
}
%0 Conference Proceedings
%T Estimation of risk premium in the Pareto distribution with the presence of outliers
%A Mollaye, Rahele
%A Jabbari Nooghabi, Mehdi
%J The 29th National Conference and 10th International Conference on Insurance and Development (NCOID) with the main subject of ‘Knowledge-Based Development of the Insurance Industry
%D 2022
