NUMERICAL CHARACTERISTICS OF PARETO DISTRIBUTION UNDER UNCERTAINTY

Öz

NUMERICAL CHARACTERISTICS OF PARETO DISTRIBUTION UNDER UNCERTAINTY

Abstract

In this study, we consider the Pareto distribution where the value of k parameter is uncertain. Some statistical quantities such as expected value, variance, skewness and kurtosis of the pareto distribution are derived by using fuzzy numbers. In addition to the these numerical characteristics, a numerical study is provided. Furthermore, large claims data from Society of Actuaries (SOA) Group Medical insurance is examined and k parameter of Pareto distribution is obtained by using the maximum likelihood estimation method and the numerical characteristics of this distribution are calculated under uncertainty

Keywords

• Pareto distribution
• uncertain probability
• medical insurance

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