A New Heavy Tailed Class of Distributions Which Includes the Pareto
Author
Abstract
Suggested Citation
Download full text from publisher
References listed on IDEAS
- Mohamed E. Ghitany & Emilio Gómez-Déniz & Saralees Nadarajah, 2018. "A New Generalization of the Pareto Distribution and Its Application to Insurance Data," JRFM, MDPI, vol. 11(1), pages 1-14, February.
- Sarabia, José María & Prieto, Faustino, 2009. "The Pareto-positive stable distribution: A new descriptive model for city size data," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 388(19), pages 4179-4191.
- de Jong,Piet & Heller,Gillian Z., 2008. "Generalized Linear Models for Insurance Data," Cambridge Books, Cambridge University Press, number 9780521879149, November.
- Acerbi, Carlo & Tasche, Dirk, 2002.
"On the coherence of expected shortfall,"
Journal of Banking & Finance, Elsevier, vol. 26(7), pages 1487-1503, July.
- Carlo Acerbi & Dirk Tasche, 2001. "On the coherence of Expected Shortfall," Papers cond-mat/0104295, arXiv.org, revised May 2002.
- Yitzhaki, Shlomo, 1983. "On an Extension of the Gini Inequality Index," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 24(3), pages 617-628, October.
- Ghitany, M.E. & Atieh, B. & Nadarajah, S., 2008. "Lindley distribution and its application," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 78(4), pages 493-506.
- Abu Bakar, S.A. & Hamzah, N.A. & Maghsoudi, M. & Nadarajah, S., 2015. "Modeling loss data using composite models," Insurance: Mathematics and Economics, Elsevier, vol. 61(C), pages 146-154.
Citations
Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
Cited by:
- Julia Adamska & Łukasz Bielak & Joanna Janczura & Agnieszka Wyłomańska, 2022. "From Multi- to Univariate: A Product Random Variable with an Application to Electricity Market Transactions: Pareto and Student’s t -Distribution Case," Mathematics, MDPI, vol. 10(18), pages 1-29, September.
Most related items
These are the items that most often cite the same works as this one and are cited by the same works as this one.- Zoia, Maria Grazia & Biffi, Paola & Nicolussi, Federica, 2018. "Value at risk and expected shortfall based on Gram-Charlier-like expansions," Journal of Banking & Finance, Elsevier, vol. 93(C), pages 92-104.
- Sarabia, José María & Prieto, Faustino & Trueba, Carmen & Jordá, Vanesa, 2013. "About the modified Gaussian family of income distributions with applications to individual incomes," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 392(6), pages 1398-1408.
- Philippe Delquié, 2012. "Risk Measures from Risk-Reducing Experiments," Decision Analysis, INFORMS, vol. 9(2), pages 96-102, June.
- Doron Nisani, 2023. "On the General Deviation Measure and the Gini coefficient," International Journal of Economic Theory, The International Society for Economic Theory, vol. 19(3), pages 599-610, September.
- Winter, Peter, 2007. "Managerial Risk Accounting and Control – A German perspective," MPRA Paper 8185, University Library of Munich, Germany.
- Robson, Matthew & O’Donnell, Owen & Van Ourti, Tom, 2024.
"Aversion to health inequality — Pure, income-related and income-caused,"
Journal of Health Economics, Elsevier, vol. 94(C).
- Matthew Robson & Owen O’Donnell & Tom Van Ourti, 2023. "Aversion to Health Inequality - Pure, Income-Related and Income-Caused," Tinbergen Institute Discussion Papers 23-019/V, Tinbergen Institute.
- Stephen P. Jenkins & Philippe Van Kerm, 2016.
"Assessing Individual Income Growth,"
Economica, London School of Economics and Political Science, vol. 83(332), pages 679-703, October.
- Jenkins, Stephen P. & van Kerm, Philippe, 2016. "Assessing individual income growth," LSE Research Online Documents on Economics 66995, London School of Economics and Political Science, LSE Library.
- Herwig Immervoll & Horacio Levy & Christine Lietz & Daniela Mantovani & Cathal O’Donoghue & Holly Sutherland & Gerlinde Verbist, 2006.
"Household Incomes and Redistribution in the European Union: Quantifying the Equalizing Properties of Taxes and Benefits,"
Palgrave Macmillan Books, in: Dimitri B. Papadimitriou (ed.), The Distributional Effects of Government Spending and Taxation, chapter 5, pages 135-165,
Palgrave Macmillan.
- Verbist, Gerlinde & O'Donoghue, Cathal & Sutherland, Holly & Immervoll, Herwig & Levy, Horacio & Lietz, Christine & Mantovani, D., 2005. "Household incomes and redistribution in the European Union: quantifying the equalising properties of taxes and benefits," EUROMOD Working Papers EM9/05, EUROMOD at the Institute for Social and Economic Research.
- Immervoll, Herwig & Levy, Horacio & Lietz, Christine & Mantovani, Daniela & O'Donoghue, Cathal & Sutherland, Holly & Verbist, Gerlinde, 2006. "Household Incomes and Redistribution in the European Union: Quantifying the Equalising Properties of Taxes and Benefits," Economics Series 184, Institute for Advanced Studies.
- Immervoll, Herwig & Levy, Horacio & Lietz, Christine & Mantovani, Daniela & O'Donoghue, Cathal & Sutherland, Holly & Verbist, Gerlinde, 2005. "Household Incomes and Redistribution in the European Union: Quantifying the Equalising Properties of Taxes and Benefits," IZA Discussion Papers 1824, Institute of Labor Economics (IZA).
- Dimitrios G. Konstantinides & Georgios C. Zachos, 2019. "Exhibiting Abnormal Returns Under a Risk Averse Strategy," Methodology and Computing in Applied Probability, Springer, vol. 21(2), pages 551-566, June.
- Casilda Lasso de la Vega & Ana Urrutia & Oscar Volij, 2011. "An Axiomatic Characterization Of The Theil Inequality Order," Working Papers 1103, Ben-Gurion University of the Negev, Department of Economics.
- Furman, Edward & Landsman, Zinoviy, 2010. "Multivariate Tweedie distributions and some related capital-at-risk analyses," Insurance: Mathematics and Economics, Elsevier, vol. 46(2), pages 351-361, April.
- Chenglong Ye & Lin Zhang & Mingxuan Han & Yanjia Yu & Bingxin Zhao & Yuhong Yang, 2022. "Combining Predictions of Auto Insurance Claims," Econometrics, MDPI, vol. 10(2), pages 1-15, April.
- Pedro Salas-Rojo & Juan Gabriel Rodríguez, 2022.
"Inheritances and wealth inequality: a machine learning approach,"
The Journal of Economic Inequality, Springer;Society for the Study of Economic Inequality, vol. 20(1), pages 27-51, March.
- Pedro Salas-Rojo & Juan Gabriel Rodríguez, 2020. "Inheritances and Wealth Inequality: a Machine Learning Approach," LWS Working papers 32, LIS Cross-National Data Center in Luxembourg.
- Salas Rojo, Pedro & Rodríguez, Juan Gabriel, 2022. "Inheritances and wealth inequality: a machine learning approach," LSE Research Online Documents on Economics 120916, London School of Economics and Political Science, LSE Library.
- Marco Rocco, 2011. "Extreme value theory for finance: a survey," Questioni di Economia e Finanza (Occasional Papers) 99, Bank of Italy, Economic Research and International Relations Area.
- Bernardi, Mauro, 2013.
"Risk measures for skew normal mixtures,"
Statistics & Probability Letters, Elsevier, vol. 83(8), pages 1819-1824.
- Bernardi, Mauro, 2012. "Risk measures for Skew Normal mixtures," MPRA Paper 39828, University Library of Munich, Germany.
- Maria Logvaneva & Mikhail Tselishchev, 2022. "On a Stochastic Model of Diversification," Papers 2204.01284, arXiv.org.
- Kull, Andreas, 2009. "Sharing Risk – An Economic Perspective," ASTIN Bulletin, Cambridge University Press, vol. 39(2), pages 591-613, November.
- Johannes König & Carsten Schröder, 2018.
"Inequality-minimization with a given public budget,"
The Journal of Economic Inequality, Springer;Society for the Study of Economic Inequality, vol. 16(4), pages 607-629, December.
- Johannes König & Carsten Schröder, 2018. "Inequality-minimization with a given public budget," The Journal of Economic Inequality, Springer;Society for the Study of Economic Inequality, vol. 16(4), pages 607-629, December.
- König, Johannes & Schröder, Carsten, 2016. "Inequality-minimization with a given public budget," Discussion Papers 2016/16, Free University Berlin, School of Business & Economics.
- Guido Erreygers & Roselinde Kessels & Linkun Chen & Philip Clarke, 2016. "Decomposing Socioeconomic Inequality of Health," EcoMod2016 9574, EcoMod.
- Csóka Péter & Pintér Miklós, 2016.
"On the Impossibility of Fair Risk Allocation,"
The B.E. Journal of Theoretical Economics, De Gruyter, vol. 16(1), pages 143-158, January.
- Csóka, Péter & Pintér, Miklós, 2010. "On the impossibility of fair risk allocation," MPRA Paper 26515, University Library of Munich, Germany.
- Csóka, Péter & Pintér, Miklós, 2014. "On the impossibility of fair risk allocation," Corvinus Economics Working Papers (CEWP) 2014/12, Corvinus University of Budapest.
- Peter Csoka & Miklos Pinter, 2011. "On the Impossibility of Fair Risk Allocation," CERS-IE WORKING PAPERS 1117, Institute of Economics, Centre for Economic and Regional Studies.
More about this item
Keywords
pareto distribution; excess-of-loss reinsurance; loggamma distribution; composite models;All these keywords.
Statistics
Access and download statisticsCorrections
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:gam:jrisks:v:7:y:2019:i:4:p:99-:d:269272. See general information about how to correct material in RePEc.
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: MDPI Indexing Manager (email available below). General contact details of provider: https://www.mdpi.com .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.