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

Zubair Ahmad, Eisa Mahmoudi, Rasool Roozegar, Morad Alizadeh and Ahmed Z. Afify

Mathematical Problems in Engineering, 2021, vol. 2021, 1-14

Abstract:

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.

Date: 2021
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Persistent link: https://EconPapers.repec.org/RePEc:hin:jnlmpe:8759055

DOI: 10.1155/2021/8759055

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