Estimation of the lognormal-Pareto distribution using probability weighted moments and maximum likelihood

DOI10.1080/03610918.2013.837180zbMATH Open1328.62114OpenAlexW2013769537MaRDI QIDQ5265822FDOQ5265822

Authors: Marco Bee 

Publication date: 29 July 2015

Published in: Communications in Statistics. Simulation and Computation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610918.2013.837180

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zbMATH Keywords

probability weighted momentsloss modelslognormal-Pareto distributionmixed estimation method

Mathematics Subject Classification ID

Point estimation (62F10) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Cites Work

• Title not available (Why is that?)
• The pricing of options and corporate liabilities
• Title not available (Why is that?)
• On composite lognormal-Pareto models
• Mixture Densities, Maximum Likelihood and the EM Algorithm
• The EM Algorithm and Extensions, 2E
• Maximum likelihood estimation in a class of nonregular cases
• Critical phenomena in natural sciences. Chaos, fractals, selforganization and disorder: concepts and tools.
• Title not available (Why is that?)
• Extreme Financial Risks
• Operational Risk

Cited In (5)

• A Simple and Effective Inequality Measure
• On the composite Lognormal–Pareto distribution with uncertain threshold
• Unsupervised mixture estimation via approximate maximum likelihood based on the Cramér-von Mises distance
• Optimal estimation for the Pareto distribution
• Heavy tailed modeling of automobile claim data from Ghana

Uses Software

• QRM

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