Modeling Insurance Claims Distribution through Combining Generalized Hyperbolic Skew-t Distribution with Extreme Value Theory
This paper examines whether combining Generalized Hyperbolic Skew-t distribution, recently introduced in the field of insurance, and Extreme Value Theory (EVT) could result in a modeling of loss function that could model central value as well as extreme value in appropriate manner. <br />The d...
| Main Authors: | , , |
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| Format: | Article |
| Language: | fas |
| Published: |
University of Tehran
2016-05-01
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| Series: | تحقیقات مالی |
| Subjects: | |
| Online Access: | https://jfr.ut.ac.ir/article_51043_db96cb2e3121940f7be4773053f315a3.pdf |