Matrix Mittag-Leffler distributions and modeling heavy-tailed risks

DOI10.1007/S10687-020-00377-0zbMATH Open1450.62044arXiv1906.05316OpenAlexW3034077979MaRDI QIDQ2198600FDOQ2198600

Martin Bladt, Mogens Bladt, Hansjörg Albrecher

Publication date: 10 September 2020

Published in: Extremes (Search for Journal in Brave)

Abstract: In this paper we define the class of matrix Mittag-Leffler distributions and study some of its properties. We show that it can be interpreted as a particular case of an inhomogeneous phase-type distribution with random scaling factor, and alternatively also as the absorption time of a semi-Markov process with Mittag-Leffler distributed interarrival times. We then identify this class and its power transforms as a remarkably parsimonious and versatile family for the modelling of heavy-tailed risks, which overcomes some disadvantages of other approaches like the problem of threshold selection in extreme value theory. We illustrate this point both on simulated data as well as on a set of real-life MTPL insurance data that were modeled differently in the past.

Full work available at URL: https://arxiv.org/abs/1906.05316

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zbMATH Keywords

heavy tailsMittag-Leffler functionsrandom scalingphase-type distributionsrisk modelingmatrix distributions

Mathematics Subject Classification ID

Point estimation (62F10) Actuarial mathematics (91G05) Statistics of extreme values; tail inference (62G32) Applications of statistics to actuarial sciences and financial mathematics (62P05) Characterization and structure theory of statistical distributions (62E10) Mittag-Leffler functions and generalizations (33E12)

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Cited In (12)

• Penalised likelihood methods for phase-type dimension selection
• PHASE-TYPE DISTRIBUTIONS FOR CLAIM SEVERITY REGRESSION MODELING
• Continuous scaled phase-type distributions
• A Tractable Class of Multivariate Phase-Type Distributions for Loss Modeling
• TEMPERED PARETO-TYPE MODELLING USING WEIBULL DISTRIBUTIONS
• Shock models based on renewal processes with matrix Mittag-Leffler distributed inter-arrival times
• Multivariate matrix Mittag-Leffler distributions
• Trimmed extreme value estimators for censored heavy-tailed data
• Heavy-tailed phase-type distributions: a unified approach
• Multivariate fractional phase-type distributions
• Fractional inhomogeneous multi-state models in life insurance
• On survival of coherent systems subject to random shocks

Uses Software

• EMpht

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