Importance of Generalized Logistic Distribution in Extreme Value Modeling
نویسندگان
چکیده
منابع مشابه
modeling insurance claims distribution through combining generalized hyperbolic skew-t distribution with extreme value theory
this paper examines whether combining generalized hyperbolic skew-t distribution, recently introduced in the field of insurance, and extreme value theory (evt) could result in a modeling of loss function that could model central value as well as extreme value in appropriate manner. the data used in this study are the amount of property damage and bodily injury covered under automobile liability...
متن کاملModelling Extreme Temperature in Malaysia Using Generalized Extreme Value Distribution
Extreme temperature of several stations in Malaysia is modelled by fitting the monthly maximum to the Generalized Extreme Value (GEV) distribution. The Mann-Kendall (MK) test suggests a non-stationary model. Two models are considered for stations with trend and the Likelihood Ratio test is used to determine the best-fitting model. Results show that half of the stations favour a model which is l...
متن کاملModeling Annual Extreme Precipitation in China Using the Generalized Extreme Value Distribution
Extreme precipitation events are the major causes of severe floods in China. In this study, four time series of daily, 2-day, 5-day, and 10-day annual maximum precipitation from 1951 to 2000 at 651 weather stations in China were analyzed. The generalized extreme value (GEV) distribution was used, to model the annual extreme precipitation events at each station. The GEV distribution was also mod...
متن کاملGeneralized Extreme Value Distribution and Extreme Economic Value at Risk (EE-VaR) October 2007 Generalized Extreme Value Distribution and Extreme Economic Value at Risk (EE-VaR)
Ait-Sahalia and Lo (2000) and Panigirtzoglou and Skiadopoulos (2004) have argued that Economic VaR (E-VaR), calculated under the option market implied risk neutral density is a more relevant measure of risk than historically based VaR. As industry practice requires VaR at high confidence level of 99%, we propose Extreme Economic Value at Risk (EE-VaR) as a new risk measure, based on the General...
متن کاملA generalized logistic distribution
for −∞ < z < ∞. The properties of this distribution and its generalizations have been studied by several authors. Of particular eminence are the numerous papers on this topic by Professor N. Balakrishnan and his colleagues; see, for example, Balakrishnan [1, 2, 3], Balakrishnan and Aggarwala [4], Balakrishnan et al. [5, 7, 12], Balakrishnan and Chan [6], Balakrishnan and Joshi [8], Balakrishnan...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: Applied Mathematics
سال: 2013
ISSN: 2152-7385,2152-7393
DOI: 10.4236/am.2013.43080