Matrix Mittag-Leffler distributions and modeling heavy-tailed risks
Détails
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Accès restreint UNIL
Etat: Public
Version: de l'auteur⸱e
Licence: Non spécifiée
ID Serval
serval:BIB_04236C016619
Type
Article: article d'un périodique ou d'un magazine.
Collection
Publications
Institution
Titre
Matrix Mittag-Leffler distributions and modeling heavy-tailed risks
Périodique
Extremes
Statut éditorial
Publié
Date de publication
2020
Peer-reviewed
Oui
Volume
23
Numéro
3
Pages
425–450
Langue
anglais
Résumé
In this paper we define the class of matrix Mittag-Leffler distributions and study some of its properties. We show that it can be interpreted as a particular case of an inhomogeneous phase-type distribution with random scaling factor. We then identify this class and its power transforms as a remarkably parsimonious and versatile family for the modelling of heavy-tailed risks, which overcomes some disadvantages of other approaches like the problem of threshold selection in extreme value theory. We illustrate this point both on simulated data as well as on a set of real-life MTPL insurance data that were modeled differently in the past.
Création de la notice
27/04/2020 10:33
Dernière modification de la notice
04/08/2020 6:23