Estimating large losses in insurance analytics and operational risk using the g-and-h distribution

DOI10.1080/14697688.2020.1849778zbMATH Open1479.91305OpenAlexW3126729572MaRDI QIDQ5014251FDOQ5014251

Authors: Marco Bee, Julien Hambuckers, Luca Trapin 

Publication date: 1 December 2021

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://orbi.uliege.be/handle/2268/252207

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zbMATH Keywords

computational financeactuarial sciencetail analysisadvanced econometricsextreme risk and insurance

Mathematics Subject Classification ID

Actuarial mathematics (91G05) Statistics of extreme values; tail inference (62G32) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Cites Work

• On Bayesian Modeling of Fat Tails and Skewness
• Robust Statistics
• Numerical maximum likelihood estimation for the \(g\)-and-\(k\) and generalized \(g\)-and-\(h\) distributions
• Generalized Additive Models for Location, Scale and Shape
• Quantitative risk management. Concepts, techniques and tools
• Tail index estimation and an exponential regression model
• The indirect method: inference based on intermediate statistics -- a synthesis and examples
• Title not available (Why is that?)
• Encompassing and indirect inference
• Constrained Indirect Estimation
• Estimation of stable distributions by indirect inference
• Parametric probability densities and distribution functions for Tukey \(g\)-and-\(h\) transformations and their use for fitting data
• The Quantitative Modeling of Operational Risk: Between G-and-H and EVT
• Power method distributions through conventional moments and \(L\)-moments
• A simple approach to the estimation of Tukey's gh distribution

Cited In (3)

• Testing a parameter restriction on the boundary for the g-and-h distribution: a simulated approach
• The Quantitative Modeling of Operational Risk: Between G-and-H and EVT
• The truncated g-and-h distribution: estimation and application to loss modeling

Uses Software

• GAMLSS
• QRM
• kSamples
• gk

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