Estimating a tail of the mixture of log-normal and inverse Gaussian distribution

DOI10.1080/03461238.2013.775665MaRDI QIDQ4576759zbMATH OpenOpenAlexFDO

Authors Jelena Kočović, Vesna Ćojbašić Rajić, Milan V. Jovanović

Publication date 10 July 2018

Published in Scandinavian Actuarial Journal (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/03461238.2013.775665

zbMATH Keywords

extreme value theorygeneralized Pareto distributionGumbel distributionloss distributionshigh excess layers

Mathematics Subject Classification ID

Exact distribution theory in statistics (62E15) Extreme value theory; extremal stochastic processes (60G70) Statistics of extreme values; tail inference (62G32) Applications of statistics to actuarial sciences and financial mathematics (62P05)

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Cites work

• scientific article; zbMATH DE number 482636 (Why is no real title available?)
• scientific article; zbMATH DE number 729453 (Why is no real title available?)
• scientific article; zbMATH DE number 1026574 (Why is no real title available?)
• scientific article; zbMATH DE number 1082202 (Why is no real title available?)
• Adaptive Threshold Estimation via Extreme Value Theory
• Composite lognormal-Pareto model with random threshold
• High volatility, thick tails and extreme value theory in value-at-risk estimation.
• Loss Models
• Modeling insurance claims via a mixture exponential model combined with peaks-over-threshold approach
• Modeling large claims in non-life insurance
• Modelling losses using an exponential-inverse Gaussian distribution
• Nonparametric confidence intervals for population variance of one sample and the difference of variances of two samples
• Pricing catastrophe risk bonds: a mixed approximation method
• Residual life time at great age
• Statistical inference using extreme order statistics
• Sur la distribution limite du terme maximum d'une série aléatoire
• Toward a unified approach to fitting loss models

Cited in

(5)

• Tail quantile approximations for hybrid lognormal distribution
• Intrinsic objective Bayesian estimation of the mean of the Tweedie family
• Assessing the performance of confidence intervals for high quantiles of Burr XII and Inverse Burr mixtures
• Risk measure estimation under two component mixture models with trimmed data
• Fitting heavy-tailed mixture models with CVaR constraints

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