In the present work, a class of distributions, called new extended family of heavy-tailed distributions is introduced. The special sub-models of the introduced family provide unimodal,
bimodal, symmetric, and asymmetric density shapes. A special sub-model of the new family,
called the new extended heavy-tailed Weibull (NEHTW) distribution, is studied in more detail.
The NEHTW parameters have been estimated via eight classical estimation procedures. The
performance of these methods have been explored using detailed simulation results which
have been ordered, using partial and overall ranks, to determine the best estimation method.
Two important risk measures are derived for the NEHTW distribution. To prove the usefulness of the two actuarial measures in financial sciences, a simulation study is conducted.
Finally, the flexibility and importance of the NEHTW model are illustrated empirically using
two real-life insurance data sets. Based on our study, we observe that the NEHTW distribution may be a good candidate for modeling financial and actuarial sciences data. |
