The truncated g-and-h distribution: estimation and application to loss modeling

DOI10.1007/S00180-021-01179-ZzbMath1505.62057OpenAlexW4206800828MaRDI QIDQ2095714

Marco Bee

Publication date: 15 November 2022

Published in: Computational Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00180-021-01179-z

zbMATH Keywords

simulationskewnessleptokurtosistruncated distributions

Mathematics Subject Classification ID

Computational methods for problems pertaining to statistics (62-08) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Related Items (1)

Unsupervised mixture estimation via approximate maximum likelihood based on the Cramér-von Mises distance

Uses Software

• QRM

Cites Work

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• Continuous Empirical Characteristic Function Estimation of Mixtures of Normal Parameters
• Statistical Size Distributions in Economics and Actuarial Sciences
• Estimating large losses in insurance analytics and operational risk using the g-and-h distribution
• A characteristic function-based approach to approximate maximum likelihood estimation
• A simple approach to the estimation of Tukey's gh distribution
• Operational Risk
• The Quantitative Modeling of Operational Risk: Between G-and-H and EVT

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