On the Use of Lehmann’s Alternative to Capture Extreme Losses in Actuarial Science
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- Frangos, Nikolaos & Karlis, Dimitris, 2004. "Modelling losses using an exponential-inverse Gaussian distribution," Insurance: Mathematics and Economics, Elsevier, vol. 35(1), pages 53-67, August.
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Keywords
actuarial; Lehmann’s alternative; mixture; right tail; Stoppa distribution;All these keywords.
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