Scale Mixture of Gleser Distribution with an Application to Insurance Data

In this paper, the scale mixture of the Gleser (SMG) distribution is introduced. This new distribution is the product of a scale mixture between the Gleser (G) distribution and the Beta(a,1) distribution. The SMG distribution is an alternative to distributions with two parameters and a heavy right tail. We study its representation and some basic properties, maximum likelihood inference, and Fisher’s information matrix. We present an application to a real dataset in which the SMG distribution shows a better fit than two other known distributions.