Density approximations and VaR computation for compound Poisson-lognormal distributions

DOI10.1080/03610918.2015.1016237MaRDI QIDQ5267879zbMATH OpenOpenAlexFDO

Authors 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)

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Cites work

• scientific article; zbMATH DE number 51089 (Why is no real title available?)
• scientific article; zbMATH DE number 1999206 (Why is no real title available?)
• Expansions for moments of compound Poisson distributions
• Information Theory and Statistical Mechanics
• Loss Models
• Modelling of extremal events in insurance and finance
• Numerical Inversion of Laplace Transforms of Probability Distributions
• Operational Risk
• Quantitative risk management. Concepts, techniques and tools
• Remark on Algorithm 815
• Some Generalized Functions for the Size Distribution of Income
• Statistical Size Distributions in Economics and Actuarial Sciences
• Statistical and probabilistic methods in actuarial science.
• The moments and central moments of a compound distribution

Cited in

(5)

• Alternative approximations to value-at-risk: a comparison
• 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

Describes a project that uses

Uses Software

• nleqslv
• QRM
• evir

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