Abstract
In this paper, excess severity behaviors of Pareto-Exponential and Pareto-Gamma mixture are examined. Mathematical derivations are used to prove certain properties, while numerical integral computations are used to illustrate results.
The excess severity function of Pareto-Exponential mixture is shown to be increasing and concave; while for Pareto-Gamma mixture, the excess severity function is shown to be increasing, but could be either convex or concave.
Volume
Winter
Year
2023
Keywords
Pareto-Exponential, Pareto-Gamma, Excess Severity
Description
In this paper, excess severity behaviors of Pareto-Exponential and Pareto-Gamma mixture are examined. Mathematical derivations are used to prove certain properties, while numerical integral computations are used to illustrate results.
The excess severity function of Pareto-Exponential mixture is shown to be increasing and concave; while for Pareto-Gamma mixture, the excess severity function is shown to be increasing, but could be either convex or concave.
The excess severity function of Pareto-Exponential mixture is shown to be increasing and concave; while for Pareto-Gamma mixture, the excess severity function is shown to be increasing, but could be either convex or concave.
Publications
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