The extended log-logistic distribution: inference and actuarial applications

NM Alfaer, AM Gemeay, HM Aljohani, AZ Afify - Mathematics, 2021 - mdpi.com
Mathematics, 2021mdpi.com
Actuaries are interested in modeling actuarial data using loss models that can be adopted to
describe risk exposure. This paper introduces a new flexible extension of the log-logistic
distribution, called the extended log-logistic (Ex-LL) distribution, to model heavy-tailed
insurance losses data. The Ex-LL hazard function exhibits an upside-down bathtub shape,
an increasing shape, a J shape, a decreasing shape, and a reversed-J shape. We derived
five important risk measures based on the Ex-LL distribution. The Ex-LL parameters were …
Actuaries are interested in modeling actuarial data using loss models that can be adopted to describe risk exposure. This paper introduces a new flexible extension of the log-logistic distribution, called the extended log-logistic (Ex-LL) distribution, to model heavy-tailed insurance losses data. The Ex-LL hazard function exhibits an upside-down bathtub shape, an increasing shape, a J shape, a decreasing shape, and a reversed-J shape. We derived five important risk measures based on the Ex-LL distribution. The Ex-LL parameters were estimated using different estimation methods, and their performances were assessed using simulation results. Finally, the performance of the Ex-LL distribution was explored using two types of real data from the engineering and insurance sciences. The analyzed data illustrated that the Ex-LL distribution provided an adequate fit compared to other competing distributions such as the log-logistic, alpha-power log-logistic, transmuted log-logistic, generalized log-logistic, Marshall–Olkin log-logistic, inverse log-logistic, and Weibull generalized log-logistic distributions.
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