Bayesian estimators of the lognormal–Pareto composite distribution

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In this paper, Bayesian methods with both Jeffreys and conjugate priors for estimating parameters of the lognormal–Pareto composite (LPC) distribution are considered. With Jeffreys prior, the posterior distributions for parameters of interest are derived and their properties are described. The conjugate priors are proposed and the conditional posterior distributions are provided. In addition, simulation studies are performed to obtain the upper percentage points of Kolmogorov–Smirnov and Anderson–Darling test statistics. Furthermore, these statistics are used to compare Bayesian and likelihood estimators. In order to clarify and advance the validity of Bayesian and likelihood estimators of the LPC distribution, well-known Danish fire insurance data-set is reanalyzed.

Original languageEnglish
Pages (from-to)500-515
Number of pages16
JournalScandinavian Actuarial Journal
Issue number6
StatePublished - Aug 18 2015


  • Fisher information
  • Metropolis-Hastings algorithm
  • Pareto distribution
  • goodness-of-fit tests
  • lognormal distribution


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