Enrique Calderín-Ojeda
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Articles (11)
On the Use of Lehmann’s Alternative to Capture Extreme Losses in Actuarial Science
This paper studies properties and applications related to the mixture of the class of distributions built by the 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, financial, and actuarial fields, where extreme and long tails appear in the empirical data. The special case in which G(·) is the Stoppa cumulative distribution function, which is a good description of the random behaviour of large losses, is studied in detail. We provide properties of this mixture, mainly related to the analysis of the tail of the distribution that makes it a candidate for fitting actuarial data with extreme observations. Inference procedures are discussed and applications to three well-known datasets are shown.
Year:
2023
Collaborators (4)
Guillermo Lopez-Campos
Lecturer
The Queen's University Belfast
Emilio Gómez-Déniz
Universidad de Las Palmas de Gran Canaria
F. J. Vázquez-Polo
Universidad de Las Palmas de Gran Canaria
José María Sarabia
Full Professor
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