Please use this identifier to cite or link to this item: http://hdl.handle.net/10553/128832
DC FieldValueLanguage
dc.contributor.authorGómez Déniz, Emilio-
dc.contributor.authorCalderín Ojeda, Enrique Javier-
dc.date.accessioned2024-02-07T08:58:52Z-
dc.date.available2024-02-07T08:58:52Z-
dc.date.issued2024-
dc.identifier.otherScopus-
dc.identifier.urihttp://hdl.handle.net/10553/128832-
dc.description.abstractThis paper studies properties and applications related to the mixture of the class of distributions built by the Lehmann’s alternative (also referred to in the statistical literature as max-stable or exponentiated distribution) of the form (Formula presented.), where (Formula presented.) and (Formula presented.) is a continuous cumulative distribution function. This mixture can be useful in economics, financial, and actuarial fields, where extreme and long tails appear in the empirical data. The special case in which (Formula presented.) is the Stoppa cumulative distribution function, which is a good description of the random behaviour of large losses, is studied in detail. We provide properties of this mixture, mainly related to the analysis of the tail of the distribution that makes it a candidate for fitting actuarial data with extreme observations. Inference procedures are discussed and applications to three well-known datasets are shown.-
dc.languageeng-
dc.relation.ispartofRisks-
dc.sourceRisks[EISSN 2227-9091],v. 12 (1), (Enero 2024)-
dc.subject5302 Econometría-
dc.subject.otherActuarial-
dc.subject.otherLehmann’S Alternative-
dc.subject.otherMixture-
dc.subject.otherRight Tail-
dc.subject.otherStoppa Distribution-
dc.titleOn the use of Lehmann’s alternative to capture extreme losses in actuarial science-
dc.typeinfo:eu-repo/semantics/Article-
dc.typeArticle-
dc.identifier.doi10.3390/risks12010006-
dc.identifier.scopus85183385834-
dc.identifier.isi001152949600001-
dc.contributor.orcid0000-0002-5072-7908-
dc.contributor.orcid0000-0001-6364-627X-
dc.contributor.authorscopusid15724912000-
dc.contributor.authorscopusid23479414700-
dc.identifier.eissn2227-9091-
dc.identifier.issue1-
dc.relation.volume12-
dc.investigacionCiencias Sociales y Jurídicas-
dc.type2Artículo-
dc.contributor.daisngid31805086-
dc.contributor.daisngid54581627-
dc.description.numberofpages22-
dc.utils.revision-
dc.contributor.wosstandardWOS:Gómez-Déniz, E-
dc.contributor.wosstandardWOS:Calderín-Ojeda, E-
dc.date.coverdateEnero 2024-
dc.identifier.ulpgc-
dc.contributor.buulpgcBU-ECO-
dc.description.sjr0,403-
dc.description.sjrqQ2-
dc.description.esciESCI-
dc.description.miaricds9,4-
item.grantfulltextnone-
item.fulltextSin texto completo-
crisitem.author.deptGIR TIDES- Técnicas estadísticas bayesianas y de decisión en la economía y empresa-
crisitem.author.deptIU de Turismo y Desarrollo Económico Sostenible-
crisitem.author.deptDepartamento de Métodos Cuantitativos en Economía y Gestión-
crisitem.author.deptGIR TIDES- Técnicas estadísticas bayesianas y de decisión en la economía y empresa-
crisitem.author.deptIU de Turismo y Desarrollo Económico Sostenible-
crisitem.author.orcid0000-0002-5072-7908-
crisitem.author.parentorgIU de Turismo y Desarrollo Económico Sostenible-
crisitem.author.parentorgIU de Turismo y Desarrollo Económico Sostenible-
crisitem.author.fullNameGómez Déniz, Emilio-
crisitem.author.fullNameCalderín Ojeda,Enrique-
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