Estimation of the Lognormal-Pareto Distribution Using Probability Weighted Moments and Maximum Likelihood

DOI10.1080/03610918.2013.837180zbMath1328.62114OpenAlexW2013769537MaRDI QIDQ5265822

Marco Bee

Publication date: 29 July 2015

Published in: Communications in Statistics - Simulation and Computation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610918.2013.837180

zbMATH Keywords

probability weighted momentsloss modelslognormal-Pareto distributionmixed estimation method

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Point estimation (62F10)

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Uses Software

• QRM

Cites Work

• The Pricing of Options and Corporate Liabilities
• Critical phenomena in natural sciences. Chaos, fractals, selforganization and disorder: concepts and tools.
• Mixture Densities, Maximum Likelihood and the EM Algorithm
• Extreme Financial Risks
• The EM Algorithm and Extensions, 2E
• Maximum likelihood estimation in a class of nonregular cases
• On composite lognormal-Pareto models
• Operational Risk
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