Identificador persistente para citar o vincular este elemento: http://hdl.handle.net/10553/128832
Título: On the use of Lehmann’s alternative to capture extreme losses in actuarial science
Autores/as: Gómez Déniz, Emilio 
Calderín Ojeda, Enrique Javier 
Clasificación UNESCO: 5302 Econometría
Palabras clave: Actuarial
Lehmann’S Alternative
Mixture
Right Tail
Stoppa Distribution
Fecha de publicación: 2024
Publicación seriada: Risks 
Resumen: This 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.
URI: http://hdl.handle.net/10553/128832
DOI: 10.3390/risks12010006
Fuente: Risks[EISSN 2227-9091],v. 12 (1), (Enero 2024)
Colección:Artículos
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