Abstract
Actuaries are often in search of finding an adequate loss model in the scenario of actuarial and financial risk management problems. In this work, we propose a new approach to obtain a new class of loss distributions. A special sub-model of the proposed family, called the Weibull-loss model is considered in detail. Some mathematical properties are derived and maximum likelihood estimates of the model parameters are obtained. Certain characterizations of the proposed family are also provided. A simulation study is done to evaluate the performance of the maximum likelihood estimators. Finally, an application of the proposed model to the vehicle insurance loss data set is presented.