Peters, Gareth W.; Chen, Wilson Ye; Gerlach, Richard H. - In: Risks 4 (2016) 2, pp. 1-41
This paper discusses different classes of loss models in non-life insurance settings. It then overviews the class of Tukey transform loss models that have not yet been widely considered in non-life insurance modelling, but offer opportunities to produce flexible skewness and kurtosis features...