Shrinkage estimators of shape parameter of contaminated Pareto model with insurance application

Abstract

In this paper, a Pareto distribution in the presence of outliers is proposed as a claim size distribution. The shrinkage estimators of the shape parameter $\alpha$ are derived. Also, estimators of Premium are considered and compared by using simulation study. Finally, an actual example is proposed for obtaining different estimators of the Premium.

Keywords

• Pareto distribution
• maximum likelihood
• moment method
• Shrinkage estimator
• uniformly minimum variance unbiased
• outliers
• premium
• insurance

References

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