Modelling insurance losses using contaminated generalised beta type-II distribution

J. S.K. Chan, S. T.B. Choy, U. E. Makov, Z. Landsman

Research output: Contribution to journalArticlepeer-review


The four-parameter distribution family, the generalised beta type-II (GB2), also known as the transformed beta distribution, has been proposed for modelling insurance losses. As special cases, this family nests many distributions with light and heavy tails, including the lognormal, gamma, Weibull, Burr and generalised gamma distributions. This paper extends the GB2 family to the contaminated GB2 family, which offers many flexible features, including bimodality and a wide range of skewness and kurtosis. Properties of the contaminated distribution are derived and evaluated in a simulation study and the suitability of the contaminated GB2 distribution for actuarial purposes is demonstrated through two real loss data sets. Analysis of tail quantiles for the data suggests large differences in extreme quantile estimates for different loss distribution assumptions, showing that the selection of appropriate distributions has a significant impact for insurance companies.

Original languageEnglish
Pages (from-to)871-904
Number of pages34
JournalASTIN Bulletin
Issue number2
StatePublished - 1 May 2018

Bibliographical note

Publisher Copyright:
© Copyright Astin Bulletin 2018.


  • Bayesian MCMC
  • Contaminated mixture distribution
  • EM algorithm
  • Generalised beta type-II distribution
  • Loss distribution
  • Tail conditional expectation
  • Value-at-Risk

ASJC Scopus subject areas

  • Accounting
  • Finance
  • Economics and Econometrics


Dive into the research topics of 'Modelling insurance losses using contaminated generalised beta type-II distribution'. Together they form a unique fingerprint.

Cite this