A new class of models for heavy tailed distributions in finance and insurance risk

DOI10.1016/j.insmatheco.2012.02.002zbMath1284.60024OpenAlexW2052408851MaRDI QIDQ2444705

Vaidyanathan Ramaswami, Soohan Ahn, 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

zbMATH Keywords

data fittingextreme value theoryheavy tailgeneralized Pareto distributionlog phase-type distribution

Mathematics Subject Classification ID

Related Items (26)

Risk measure estimation under two component mixture models with trimmed data ⋮ Bayesian inference for extreme quantiles of heavy tailed distributions ⋮ Inhomogeneous phase-type distributions and heavy tails ⋮ Estimating extreme tail risk measures with generalized Pareto distribution ⋮ Compound unimodal distributions for insurance losses ⋮ A pseudo-Pareto distribution and concomitants of its order statistics ⋮ Multivariate matrix-exponential affine mixtures and their applications in risk theory ⋮ Phase Type Distributions with Finite Support ⋮ Corrected Phase-Type Approximations of Heavy-Tailed Queueing Models in a Markovian Environment ⋮ Portfolio selection based on semivariance and distance correlation under minimum variance framework ⋮ PHASE-TYPE DISTRIBUTIONS FOR CLAIM SEVERITY REGRESSION MODELING ⋮ AN EM ALGORITHM FOR FITTING A NEW CLASS OF MIXED EXPONENTIAL REGRESSION MODELS WITH VARYING DISPERSION ⋮ On \(1/f\) noise ⋮ Detection and estimation of structural change in heavy-tailed sequence ⋮ Modeling Severity and Measuring Tail Risk of Norwegian Fire Claims ⋮ Skew mixture models for loss distributions: a Bayesian approach ⋮ A New Class of Severity Regression Models with an Application to IBNR Prediction ⋮ A class of mixture of experts models for general insurance: theoretical developments ⋮ A gamma kernel density estimation for insurance loss data ⋮ 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 ⋮ The beta skew \(t\) distribution and its properties ⋮ A Beran-inspired estimator for the Weibull-type tail coefficient ⋮ The Lomax regression model with residual analysis: an application to insurance data ⋮ Dichotomous unimodal compound models: application to the distribution of insurance losses ⋮ Functional sensitivity analysis of ruin probability in the classical risk models

Uses Software

• EMpht

Cites Work

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• Variance vs downside risk: Is there really that much difference?
• Stochastic-Process Limits
• Phase-type distributions and invariant polytopes
• Conditional tail expectations for multivariate phase-type distributions
• Introduction to Matrix Analytic Methods in Stochastic Modeling
• Bilateral Phase Type Distributions
• A Review on Phase-type Distributions and their Use in Risk Theory

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