pTAS distributions with application to risk management

Matthias Fischer () and Kevin Jakob
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Matthias Fischer: FAU Erlangen-Nürnberg
Kevin Jakob: University of Augsburg

Journal of Statistical Distributions and Applications, 2016, vol. 3, issue 1, 1-18

Abstract: Abstract The family of positive tempered α-stable (pTAS) or sometimes also tempered one-sided α-stable distributions dates back to Tweedie (1984) and Hougaard (1986) who discussed it in the context of frailty distribution in life table methods for heterogenous populations. The pTAS family generalizes the well-known gamma distribution and allows for heavier tails depending on the parameter α. Because of this property, pTAS distributions appear to be useful in the context of risk management. Against this background, the contribution of his work is three-fold: Firstly, we summarize the properties of the pTAS family. Secondly, we describe its numerical implementation and illustrate the functions by means of R examples in the Appendix. Thirdly, we empirically demonstrate that this family can be successfully applied in risk management. Concretely, applications to credit and operational risk are given.

Keywords: Stable distributions; Positive distributions; Estimation; Operational risk; Credit risk; 44A10; 60E07; 91B28 (search for similar items in EconPapers)
Date: 2016
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DOI: 10.1186/s40488-016-0049-9

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