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