Benktander type II distribution

Probability density function
Cumulative distribution function
Parameters	${\displaystyle a>0}$ (real) ${\displaystyle 0<b\leq 1}$ (real)
Support	${\displaystyle x\geq 1}$
PDF	${\displaystyle e^{{\frac {a}{b}}(1-x^{b})}x^{b-2}\left(ax^{b}-b+1\right)}$
CDF	${\displaystyle 1-x^{b-1}e^{{\frac {a}{b}}(1-x^{b})}}$
Mean	${\displaystyle 1+{\frac {1}{a}}}$
Median	${\displaystyle {\begin{cases}{\frac {\log(2)}{a}}+1&{\text{if}}\ b=1\\\left(\left({\frac {1-b}{a}}\right)\mathbf {W} \left({\frac {2^{\frac {b}{1-b}}ae^{\frac {a}{1-b}}}{1-b}}\right)\right)^{\tfrac {1}{b}}&{\text{otherwise}}\ \end{cases}}}$ Where ${\displaystyle \mathbf {W} (x)}$ is the Lambert W function[note 1]
Mode	${\displaystyle 1}$
Variance	${\displaystyle {\frac {-b+2ae^{\frac {a}{b}}\mathbf {E} _{1-{\frac {1}{b}}}\left({\frac {a}{b}}\right)}{a^{2}b}}}$ Where ${\displaystyle \mathbf {E} _{n}(x)}$ is the generalized Exponential integral[note 1]

The Benktander type II distribution, also called the Benktander distribution of the second kind, is one of two distributions introduced by Gunnar Benktander (1970) to model heavy-tailed losses commonly found in non-life/casualty actuarial science, using various forms of mean excess functions (Benktander & Segerdahl 1960). This distribution is "close" to the Weibull distribution (Kleiber & Kotz 2003).

See also

• Weibull distribution
• Benktander type I distribution

Notes

References

• Kleiber, Christian; Kotz, Samuel (2003). "7.4 Benktander Distributions". Statistical Size Distributions in Economics and Actuarial Science. Wiley Series and Probability and Statistics. John Wiley & Sons. pp. 247–250. ISBN 9780471457169.
• Benktander, Gunnar; Segerdahl, Carl-Otto (1960). "On the Analytical Representation of Claim Distributions with Special Reference to Excess of Loss Reinsurance". Proceedings of the XVIth International Congress of Actuaries, Brussels, 1960: 626–646.
• Benktander, Gunnar (1970). "Schadenverteilungen nach Grösse in der Nicht-Lebensversicherung" [Loss Distributions by Size in Non-life Insurance]. Bulletin of the Swiss Association of Actuaries (in German): 263–283.