Results 11 to 20 of about 41,863 (267)
Heavy-Tailed Distributions and Rating [PDF]
ASTIN Bulletin, 2001 AbstractIn this paper we consider the problem raised in the Astin Bulletin (1999) by Prof. Benktander at the occasion of his 80th birthday concerning the choice of an appropriate claim size distribution in connection with reinsurance rating problems. Appropriate models for large claim distributions play a central role in this matter.
J. Beirlant, G. Matthys, G. Dierckx
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Heavy-tailed phase-type distributions: a unified approach [PDF]
Extremes, 2022 AbstractA phase-type distribution is the distribution of the time until absorption in a finite state-space time-homogeneous Markov jump process, with one absorbing state and the rest being transient. These distributions are mathematically tractable and conceptually attractive to model physical phenomena due to their interpretation in terms of a hidden ...
Bladt, Martin, Yslas, Jorge
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Optimal Randomness for Stochastic Configuration Network (SCN) with Heavy-Tailed Distributions
Entropy, 2020 Stochastic Configuration Network (SCN) has a powerful capability for regression and classification analysis. Traditionally, it is quite challenging to correctly determine an appropriate architecture for a neural network so that the trained model can ...
Haoyu Niu, Jiamin Wei, YangQuan Chen
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Inhomogeneous phase-type distributions and heavy tails [PDF]
Journal of Applied Probability, 2019 AbstractWe extend the construction principle of phase-type (PH) distributions to allow for inhomogeneous transition rates and show that this naturally leads to direct probabilistic descriptions of certain transformations of PH distributions. In particular, the resulting matrix distributions enable the carrying over of fitting properties of PH ...
Albrecher, Hansjoerg, Bladt, Mogens
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Heavy-Tailed Fluctuations in the Spiking Output Intensity of Semiconductor Lasers with Optical Feedback. [PDF]
PLoS ONE, 2016 Although heavy-tailed fluctuations are ubiquitous in complex systems, a good understanding of the mechanisms that generate them is still lacking. Optical complex systems are ideal candidates for investigating heavy-tailed fluctuations, as they allow ...
Boon Leong Lan, Cristina Masoller
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Feller-Pareto and Related Distributions: Numerical Implementation and Actuarial Applications
Journal of Statistical Software, 2022 Actuaries model insurance claim amounts using heavy tailed probability distributions. They routinely need to evaluate quantities related to these distributions such as quantiles in the far right tail, moments or limited moments.
Christophe Dutang +2 more
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A New Class of Heavy-Tailed Distributions: Modeling and Simulating Actuarial Measures
Complexity, 2021 Statistical distributions play a prominent role for modeling data in applied fields, particularly in actuarial, financial sciences, and risk management fields.
Jin Zhao +4 more
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Estimation of heavy tails in optical non-linear processes
New Journal of Physics, 2021 In optical non-linear processes, rogue waves can be observed, which can be mathematically described by heavy-tailed distributions. These distributions are special since the probability of registering extremely high intensities is significantly higher ...
Éva Rácz +2 more
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Understanding Heavy Tails of Flood Peak Distributions
Water Resources Research, 2022 AbstractStatistical distributions of flood peak discharge often show heavy tail behavior, that is, extreme floods are more likely to occur than would be predicted by commonly used distributions that have exponential asymptotic behavior. This heavy tail behavior may surprise flood managers and citizens, as human intuition tends to expect light tail ...
Bruno Merz +11 more
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Heavy-Tailed Distributions in VaR Calculations [PDF]
, 2011 Market risks are the prospect of financial losses – or gains – due to unexpected changes in market prices and rates. Evaluating the exposure to such risks is nowadays of primary concern to risk managers in financial and non-financial institutions alike. Since the early 1990s a commonly used market risk estimation methodology has been the Value at Risk (
Adam Misiorek, Rafal Weron
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