Enrique Calderín-Ojeda 

University of Melbourne
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Australia

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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

UNITED KINGDOM

Emilio Gómez-Déniz

Universidad de Las Palmas de Gran Canaria

SPAIN

F. J. Vázquez-Polo

Universidad de Las Palmas de Gran Canaria

SPAIN

José María Sarabia

Full Professor

-

SPAIN
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