Density approximations and VaR computation for compound Poisson-lognormal distributions

DOI10.1080/03610918.2015.1016237zbMATH Open1364.62038OpenAlexW2340320251MaRDI QIDQ5267879FDOQ5267879

Marco Bee

Publication date: 13 June 2017

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

Full work available at URL: https://doi.org/10.1080/03610918.2015.1016237

zbMATH Keywords

extreme value theoryrandom sumgeneralized beta distributionprobability-weighted momentslognormal mixture

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Approximations to statistical distributions (nonasymptotic) (62E17)

Cites Work

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• Loss Models
• Some Generalized Functions for the Size Distribution of Income
• Statistical Size Distributions in Economics and Actuarial Sciences
• Information Theory and Statistical Mechanics
• Numerical Inversion of Laplace Transforms of Probability Distributions
• Operational Risk
• The moments and central moments of a compound distribution
• Modelling of extremal events in insurance and finance
• Expansions for moments of compound Poisson distributions
• Remark on Algorithm 815

Cited In (4)

• Compound unimodal distributions for insurance losses
• On the composite Lognormal–Pareto distribution with uncertain threshold
• A family of density-hazard distributions for insurance losses
• A value-at-risk approach to optimisation of warranty policy

Uses Software

• evir
• QRM
• nleqslv

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