THE FULL TAILS GAMMA DISTRIBUTION APPLIED TO MODEL EXTREME VALUES

DOI10.1017/asb.2017.9zbMath1390.62084arXiv1211.0130OpenAlexW2964004626MaRDI QIDQ4563818

Joan del Castillo, Jalila Daoudi, Isabel Serra

Publication date: 4 June 2018

Published in: ASTIN Bulletin (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1211.0130

zbMATH Keywords

Pareto distributionrisk modelspower-law distributionheavy tailed distributionsexponential modelstype III distribution

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Order statistics; empirical distribution functions (62G30) Statistics of extreme values; tail inference (62G32)

Related Items

Bayesian estimation of the threshold of a generalised Pareto distribution for heavy-tailed observations, GENERALIZING THE LOG-MOYAL DISTRIBUTION AND REGRESSION MODELS FOR HEAVY-TAILED LOSS DATA

Uses Software

• R
• QRM

Cites Work

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