A new class of models for heavy tailed distributions in finance and insurance risk
DOI10.1016/J.INSMATHECO.2012.02.002zbMATH Open1284.60024OpenAlexW2052408851MaRDI QIDQ2444705FDOQ2444705
Authors: Soohan Ahn, Vaidyanathan Ramaswami, Joseph H. T. Kim 
Publication date: 10 April 2014
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.insmatheco.2012.02.002
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- A Review on Phase-type Distributions and their Use in Risk Theory
- Variance vs downside risk: Is there really that much difference?
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- Phase-type distributions and invariant polytopes
- Bilateral Phase Type Distributions
Cited In (34)
- The beta skew \(t\) distribution and its properties
- Corrected phase-type approximations of heavy-tailed risk models using perturbation analysis
- Parameter estimation and computation of the Fisher information matrix for functions of phase type random variables
- Small area estimation with partially linear mixed-t model with measurement error
- Modelling heavy tails and asymmetry using \(ARCH\)-type models with stable Paretian distri\-bu\-tions
- Bayesian inference for extreme quantiles of heavy tailed distributions
- A pseudo-Pareto distribution and concomitants of its order statistics
- Dichotomous unimodal compound models: application to the distribution of insurance losses
- Risk measure estimation under two component mixture models with trimmed data
- The Lomax regression model with residual analysis: an application to insurance data
- EM estimation for the mixed Pareto regression model for claim severities
- A New Class of Severity Regression Models with an Application to IBNR Prediction
- On generalized log-Moyal distribution: a new heavy tailed size distribution
- Functional sensitivity analysis of ruin probability in the classical risk models
- A class of mixture of experts models for general insurance: theoretical developments
- Compound unimodal distributions for insurance losses
- Fitting phase-type scale mixtures to heavy-tailed data and distributions
- Generalizing the log-Moyal distribution and regression models for heavy-tailed loss data
- Portfolio selection based on semivariance and distance correlation under minimum variance framework
- Phase-type distributions for claim severity regression modeling
- Estimating extreme tail risk measures with generalized Pareto distribution
- A Beran-inspired estimator for the Weibull-type tail coefficient
- An EM algorithm for fitting a new class of mixed exponential regression models with varying dispersion
- Detection and estimation of structural change in heavy-tailed sequence
- Skew mixture models for loss distributions: a Bayesian approach
- Modeling severity and measuring tail risk of Norwegian fire claims
- Inhomogeneous phase-type distributions and heavy tails
- Multivariate matrix-exponential affine mixtures and their applications in risk theory
- Phase type distributions with finite support
- Inference for Heavy-Tailed Data Analysis
- Corrected phase-type approximations of heavy-tailed queueing models in a Markovian environment
- Heavy tails for an alternative stochastic perpetuity model
- On \(1/f\) noise
- A gamma kernel density estimation for insurance loss data
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