A New Class of Models for Heavy Tailed Distributions in Finance and Insurance Risk

By Soohan Ahn, Joseph H. T. Kim, V. Ramaswami. 2012

80 citations recorded by the source corpus.

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

Skew mixture models for loss distributions: a Bayesian approach (2012, methodology): “(2008) provides strong empirical evidence in favor of the use of the Skew Normal, and log-Skew Normal distributions to model bivariate claims data from the Spanish motor insurance industry, while Ahn et al. (2012) use the log Phase-type distribution as a parametric alternative in fitting heavy taile”
Modeling Severity and Measuring Tail Risk of Norwegian Fire Claims (2016, methodology): “where d = x(0) < x(1) < · · · < x(n) < x(n+1) = ∞ denote the ordered claim severities.”