Guillen, Montserrat; Prieto, Faustino; Sarabia, José María - In: Insurance: Mathematics and Economics 49 (2011) 3, pp. 454-461
This paper focuses on modelling the severity distribution. We directly model the small, moderate and large losses with the Pareto Positive Stable (PPS) distribution and thus it is not necessary to fix a threshold for the tail behaviour. Estimation with the method of moments is straightforward....