The full tails gamma distribution applied to model extreme values
Year of publication: |
2017
|
---|---|
Authors: | Castillo, Joan del ; Daoudi, Jalila ; Serra, Isabel |
Published in: |
Astin bulletin : the journal of the International Actuarial Association. - Cambridge : Cambridge University Press, ISSN 0515-0361, ZDB-ID 419201-1. - Vol. 47.2017, 3, p. 895-917
|
Subject: | Risk models | exponential models | heavy tailed distributions | Pareto distribution | power-law distribution | type III distribution | Theorie | Theory | Statistische Verteilung | Statistical distribution | Risikomaß | Risk measure | Wahrscheinlichkeitsrechnung | Probability theory | Ausreißer | Outliers | Einkommensverteilung | Income distribution |
-
Extreme values of tail probabilities
De Schepper, Ann, (1991)
-
High-order moments and extreme value approach for value-at-risk
Lin, Chu-Hsiung, (2014)
-
Tail behavior of credit loss distributions for general latent factor models
Lucas, André, (2001)
- More ...
-
The full-tails gamma distribution applied to model extreme values
castillo, Joan del, (2012)
-
Likelihood inference for generalized Pareto distribution
Castillo, Joan del, (2015)
-
Methods to Distinguish Between Polynomial and Exponential Tails
Castillo, Joan Del, (2014)
- More ...