On composite lognormal-pareto models

  • Scollnik D
  • 12


    Mendeley users who have this article in their library.
  • 35


    Citations of this article.


Recently, Cooray & Ananda (2005) proposed a composite lognormal-Pareto model for use with loss payments data of the sort arising in the actuarial and insurance industries. Their model is based on a lognormal density up to an unknown threshold value and a two-parameter Pareto density thereafter. Here we identify and discuss limitations of this composite lognormal-Pareto model which are likely to severely curtail its potential for practical application to real world data sets. In addition, we present two different composite models based on lognormal and Pareto models in order to address these concerns. The performance of all three composite models is discussed and compared in the context of an example based upon a well-known fire insurance data set.

Author-supplied keywords

  • Danish data
  • Lognormal distribution
  • Mixture model
  • Pareto distribution
  • Predictive modelling
  • Spliced model
  • Truncated

Get free article suggestions today

Mendeley saves you time finding and organizing research

Sign up here
Already have an account ?Sign in

Find this document


  • David P.M. Scollnik

Cite this document

Choose a citation style from the tabs below

Save time finding and organizing research with Mendeley

Sign up for free