Estimation of aggregate losses of secondary cancer cases using PH Panjer class (a,b,1) distributions,
Cynthia Mwende Mwau, Patrick Guge Oloo Weke, Bundi Davis Ntwiga, Joseph Makoteku Ottieno · Afrika Statistika · 2021
This research in-cooperates phase type distributions of Panjer class $(a,b,1)$ in estimation of aggregate loss probabilities of secondary cancer. Matrices of the phase type distributions are derived using Chapman-Kolmogorov equation and transition probabilities estimated using modified Kaplan-Meir and consequently the transition intensities and transition probabilities. Stationary probabilities of the Markov chains represents $\vec{\gamma}$. Claim amount are modeled using OPPL, TPPL, Pareto, Generalized Pareto and Wei-bull distributions. PH ZT Poisson with Generalized Pareto distribution provided the best fit.