Financial and Actuarial Properties of the Beta-Pareto as a Long-Tail Distribution

• Emilio Gómez-Déniz ^[1] ; Enrique Calderín-Ojeda ^[2]
  1. [1] Universidad de Las Palmas de Gran Canaria

     Universidad de Las Palmas de Gran Canaria

     Gran Canaria, España

     
  2. [2] University of Melbourne

     University of Melbourne

     Australia

     
• Localización: Spanish journal of statistics, ISSN-e 2695-9070, Nº. 2, 2020, págs. 7-21
• Idioma: inglés
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• Resumen

  • Undoubtedly, the single parameter Pareto distribution is one of the most attractive distribution in statistics; a power-law probability distribution that is found in a large number of real-world situations inside and outside the field of economics. Furthermore, it is usually used as a basis for excess of loss quotations as it gives a pretty good description of the random behaviour of large losses. In this paper, we provide properties of the Beta-Pareto distribution which can be useful in Economics, and in Financial and Actuarial fields, mainly related to the analysis of the tail of the distribution that makes it a candidate model for fitting actuarial data with extreme observations. As empirical applications two well-known data sources considered in general insurance are used to account for the suitability of the model.