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Two lognormal models for real data. (English) Zbl 1199.60043

Summary: Based on the statistical analysis of a data sample from property insurance, in this paper we consider two lognormal mixture models that we fitted to our data sample. The first model is a usual two components lognormal mixture for which we used the EM algorithm to estimate the parameters. The second one, called a composite lognormal-lognormal model, can in fact be reduced to a particular two components mixture model having truncated lognormals as mixture distributions. This composite model is studied in some detail and we present some specific parameters estimation methods. We also discuss and compare both models fit to the data.

MSC:

60E05 Probability distributions: general theory
91B30 Risk theory, insurance (MSC2010)
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