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

Year 2023, Volume: 52 Issue: 4, 1082 - 1095, 15.08.2023

Rahele Mollaie Mehdi Jabbari Nooghabi

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

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