A New Exponential-X Family: Modeling Extreme Value Data in the Finance Sector

In this paper, a family of statistical models, namely, a new exponential-X family is proposed. A subcase of the introduced family, called the new exponential-Weibull (NE-Weibull) model, is studied. The NE-Weibull model is very competent and possesses heavy-tailed properties. The maximum likelihood e...

Full description

Saved in:
Bibliographic Details
Published in:Mathematical problems in engineering 2021, Vol.2021, p.1-14
Main Authors: Ahmad, Zubair, Mahmoudi, Eisa, Roozegar, Rasool, Alizadeh, Morad, Afify, Ahmed Z.
Format: Article
Language:English
Subjects:
Behavior
Extreme values
Finance
Financial services
Insurance claims
Maximum likelihood estimators
Probability distribution
Random variables
Statistical analysis
Statistical models
Weibull distribution
Citations: Items that this one cites
Items that cite this one
Online Access:Get full text
Tags: Add Tag
No Tags, Be the first to tag this record!
Description
Summary:In this paper, a family of statistical models, namely, a new exponential-X family is proposed. A subcase of the introduced family, called the new exponential-Weibull (NE-Weibull) model, is studied. The NE-Weibull model is very competent and possesses heavy-tailed properties. The maximum likelihood estimators of its parameters are derived. The consistency and efficiency of these estimators are assessed in a brief simulation study. Finally, the effectiveness of the NE-Weibull distribution is illustrated by modeling real insurance claims data. The practical analysis shows that the NE-Weibull distribution outclassed other distributions and it can be a better choice for modeling data in the finance sector.
ISSN:1024-123X
1563-5147
DOI:10.1155/2021/8759055