Density approximations and VaR computation for compound Poisson-lognormal distributions

DOI10.1080/03610918.2015.1016237zbMath1364.62038OpenAlexW2340320251MaRDI QIDQ5267879

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)

Related Items

A family of density-hazard distributions for insurance losses, Compound unimodal distributions for insurance losses, A value-at-risk approach to optimisation of warranty policy

Uses Software

• evir
• QRM
• nleqslv

Cites Work

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