相关论文: The Zeta Tail Distribution: A Novel Event-Count Mo…

In this paper, we examine two problems on applied probability, which are directly connected with the dependence in presence of heavy tails. The first problem, is related to max-sum equivalence of the randomly weighted sums in bi-variate set…

Empirical likelihood is a well-known nonparametric method in statistics and has been widely applied in statistical inference. The method has been employed by Lu and Peng (2002) to constructing confidence intervals for the tail index of a…

In risk management, tail risks are of crucial importance. The assessment of risks should be carried out in accordance with the regulatory authority's requirement at high quantiles. In general, the underlying distribution function is…

We introduce a new statistical tool (the TP-statistic and TE-statistic) designed specifically to compare the behavior of the sample tail of distributions with power-law and exponential tails as a function of the lower threshold u. One…

Forecast combination has been proven to be a very important technique to obtain accurate predictions. In many applications, forecast errors exhibit heavy tail behaviors for various reasons. Unfortunately, to our knowledge, little has been…

In this paper we are concerned with a sample of asymptotically independent risks. Tail asymptotic probabilities for linear combinations of randomly weighted order statistics are approximated under various assumptions, where the individual…

Asmussen and Lehtomaa [Distinguishing log-concavity from heavy tails. Risks 5(10), 2017] introduced an interesting function $g$ which is able to distinguish between log-convex and log-concave tail behaviour of distributions, and proposed a…

Extreme events have an important role which is sometime catastrophic in a variety of natural phenomena including climate, earthquakes and turbulence, as well as in man-made environments like financial markets. Statistical analysis and…

We consider the tail distribution of the edge cover time of a specific non-Markov process, $\delta$ once-reinforced random walk, on finite connected graphs, whose transition probability is proportional to weights of edges. Here the weights…

The discrete Pareto (or Zeta, Zipf) distribution, arises naturally in modeling rank-frequency data across diverse fields such as linguistics, demography, biology, and computer science. Despite its widespread applicability, goodness-of-fit…

In this paper, according to a certain criterion, we divide the exponential distribution class into three subclasses. One of them is closely related to the regular-variation-tailed distribution class, so it is called the…

Based on recent results in extreme value theory, we use a new technique for the statistical estimation of distribution tails. Specifically, we use the Gnedenko-Pickands-Balkema-de Haan theorem, which gives a natural limit law for…

This article studies tail behavior for the error components in the stochastic frontier model, where one component has bounded support on one side, and the other has unbounded support on both sides. Under weak assumptions on the error…

Catastrophic loss data are known to be heavy-tailed. Practitioners then need models that are able to capture both tail and modal parts of claim data. To this purpose, a new parametric family of loss distributions is proposed as a gamma…

The most popular approach in extreme value statistics is the modelling of threshold exceedances using the asymptotically motivated generalised Pareto distribution. This approach involves the selection of a high threshold above which the…

Event counts are response variables with non-negative integer values representing the number of times that an event occurs within a fixed domain such as a time interval, a geographical area or a cell of a contingency table. Analysis of…

In this paper we provide a new criterion for the comparison of claims, when we have conditional claims arising in stop loss contracts or contracts with franchise deductible. These stochastic comparisons are made on the basis of the Tail…

We consider the zeta distributions which are discrete power law distributions that can be interpreted as the counterparts of the continuous Pareto distributions with unit scale. The family of zeta distributions forms a discrete exponential…

This is an epistemological approach to errors in both inference and risk management, leading to necessary structural properties for the probability distribution. Many mechanisms have been used to show the emergence of fat tails. Here we…

Recently, the concept of tail dependence has been discussed in financial applications related to market or credit risk. The multivariate extreme value theory is a proper tool to measure and model dependence, for example, of large loss…