On the Use of Lehmann’s Alternative to Capture Extreme Losses in Actuarial Science
Emilio Gómez-Déniz,
Enrique Calderín-Ojeda
Abstract: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 distr… Show more
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