DOI: 10.1142/s0218488523400196 ISSN: 0218-4885

A New Inverse Extended Weibull Distribution for Modelling Insurance Loss Data

Shilin Yu, Xuan Li, S. T. Boris Choy
  • Artificial Intelligence
  • Information Systems
  • Control and Systems Engineering
  • Software

This paper proposes a new three-parameter inverse Weibull-type distribution via a similar way of constructing a skew normal distribution. The additional shape parameter increases the distribution’s modelling capability as other three-parameter inverse Weibull-type distributions. The mathematical properties of this inverse extended Weibull distribution are studied and proven. In the empirical study of four insurance datasets from Australia, Denmark and the USA, we show that the proposed distribution performs very well compared with other three-parameter competitors.

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