Business Commons^™

Modeling Insurance Loss Data: The Log-Eig Distribution, Uditha Balasooriya, Chan Kee Low, Adrian Y.W. Wong

Journal of Actuarial Practice (1993-2006)

The log-EIG distribution was recently introduced to the probability literature. It has positive support and a moderately long tail, and is closer to the lognormal than to the gamma or Weibull distributions. Our simulations show that data generated from a log-EIG distribution cannot be adequately described by lognormal, gamma, or Weibull distributions. The log-EIG distribution is a worthwhile candidate for modeling insurance claims (loss) data or lifetime data. Examples of fitting the log-EIG to published insurance claims data are given.