Estimating a tail of the mixture of log-normal and inverse Gaussian distribution
DOI10.1080/03461238.2013.775665zbMATH Open1398.62309OpenAlexW2064702634MaRDI QIDQ4576759FDOQ4576759
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
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extreme value theorygeneralized Pareto distributionGumbel distributionloss distributionshigh excess layers
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)
Cites Work
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Cited In (5)
- 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
- Tail quantile approximations for hybrid lognormal distribution
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