Assessing the Performance of the Discrete Generalised Pareto Distribution in Modelling Non-Life Insurance Claims

<table class="table-group" id="tab11"><tr><td><table class="table"><tr><td class="thead-hr" colspan="3"><hr/></td></tr><tr class="thead"><td class="align_left">Model</td><td class="align_center">AIC</td><td class="align_center">BIC</td></tr><tr><td class="thead-hr" colspan="3"><hr/></td></tr><tr><td class="align_left" colspan="3"><i>Reported claims</i></td></tr><tr><td class="align_left">Negative binomial model</td><td class="align_center">1750.1770</td><td class="align_center">1755.8010</td></tr><tr><td class="align_left">DGP model</td><td class="align_center">249.9887</td><td class="align_center">251.1824</td></tr><tr><td class="align_left" colspan="3"><hr/></td></tr><tr><td class="align_left" colspan="3"><i>Settled claims</i></td></tr><tr><td class="align_left">Negative binomial model</td><td class="align_center">1311.1770</td><td class="align_center">1316.8010</td></tr><tr><td class="align_left">DGP model</td><td class="align_center">251.9658</td><td class="align_center">253.1595</td></tr><tr class="table-tr"><td colspan="3"><hr class="tbody-hr"/></td></tr></table></td></tr></table>

<div>Information criteria for model fitting.</div>

Journal of Probability and Statistics

tab11

Table 11

Table 11: Assessing the Performance of the Discrete Generalised Pareto Distribution in Modelling Non-Life Insurance Claims 