Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
5076752 | Insurance: Mathematics and Economics | 2012 | 10 Pages |
Abstract
⺠We study the class of Log phase-type (LogPH) distributions to fit heavy tailed data. ⺠Tail related quantities are derived analytically in the context of EVT. ⺠Numerical examples confirm its usefulness as an alternative of GPD model.
Related Topics
Physical Sciences and Engineering
Mathematics
Statistics and Probability
Authors
Soohan Ahn, Joseph H.T. Kim, Vaidyanathan Ramaswami,