On Composite Models: Weibull-Pareto and Lognormal-Pareto. - A comparative study -

by PREDA, Vasile and CIUMARA, Roxana 
Published in Romanian Journal of Economic Forecasting, volume 7 issue 2, 2006.

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In this paper we make a comparison between two composite models: lognormal-Pareto and Weibull-Pareto. The first one was introduced by Cooray and Ananda in 2005. The second composite distribution was constructed in the same manner as lognormal-Pareto. Here, we prove that these models behave similarly and they could be used in insurance bussiness for modelling actuarial data, especially in the cases where one deals with large loss payments. 

Keywords: composite models; lognormal, Weibull and Pareto distributions; maximum likelihood estimation; smooth empirical estimation of percentils.
JEL Classification: C16