Gómez-Déniz, Emilio; Calderín-Ojeda, Enrique - In: Risks : open access journal 12 (2024) 1, pp. 1-22
Lehmann's alternative (also referred to in the statistical literature as max-stable or exponentiated distribution) of the form … [𝐺(·)]𝜆, where 𝜆>0 and 𝐺(·) is a continuous cumulative distribution function. This mixture can be useful in economics … the Stoppa cumulative distribution function, which is a good description of the random behaviour of large losses, is …