The Heavy-Tailed Gleser Model: Properties, Estimation, and Applications
The Heavy-Tailed Gleser Model: Properties, Estimation, and Applications
Authors
Olmos, Neveka M.
Gomez Deniz, Emilio
Venegas, Osvaldo
Gomez Deniz, Emilio
Venegas, Osvaldo
Profesor GuĆa
Authors
Date
Datos de publicaciĆ³n:
10.3390/math10234577
MATHEMATICS,Vol.10,,2022
MATHEMATICS,Vol.10,,2022
Tipo de recurso
Article
Keywords
Materia geogrƔfica
Collections
Abstract
In actuarial statistics, distributions with heavy tails are of great interest to actuaries, as they represent a better description of risk exposure through a type of indicator with a certain probability. These risk indicators are used to determine companies' exposure to a particular risk. In this paper, we present a distribution with heavy right tail, studying its properties and the behaviour of the tail. We estimate the parameters using the maximum likelihood method and evaluate the performance of these estimators using Monte Carlo. We analyse one set of simulated data and another set of real data, showing that the distribution studied can be used to model income data.