Distributional Nikulin-Rao-Robson validity under a novel gamma extension with characterizations and risk assessment
Publish place: Journal of Mahani Mathematical Research، Vol: 13، Issue: 3
Publish Year: 1403
نوع سند: مقاله ژورنالی
زبان: English
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شناسه ملی سند علمی:
JR_KJMMRC-13-3_001
تاریخ نمایه سازی: 30 مرداد 1403
Abstract:
In this work, a novel probability distribution is introduced and studied. Some characterizations are presented. Several financial risk indicators, such as the value-at-risk, tail-valueat-risk, tail variance, tail Mean-Variance, and mean excess loss function are considered under the maximum likelihood estimation, the ordinary least squares, the weighted least squares, and the Anderson Darling estimation methods. These four methods were applied for the actuarial evaluation under a simulation study and under an application to insurance claims data. For distributional validation under the complete data, the well-known Nikulin-Rao-Robson statistic is considered. The Nikulin-Rao-Robson test statistic is assessed under a simulation study and under three complete real data sets. For censored distributional validation, a new version of the Nikulin-Rao-Robson statistic is considered. The new Nikulin-Rao-Robson test statistic is assessed under a comprehensive simulation study and under three censored real data sets.
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Authors
Hossein Hamedani
Department of Mathematical and Statistical Sciences, Marquette University, USA
Ahmad M. Aboalkhair
Department of Quantitative Methods, School of Business, King Faisal University, Al-Ahsa ۳۱۹۸۲, Saudi Arabia
Khaoula Aidi
Laboratory of probability and statistics LaPS, University Badji Mokhtar, Annaba, Algeria
Ali S. Hadi
Department of Statistics, American University, Cairo, Egypt
Haitham M. Yousof
Department of Statistics, Mathematics and Insurance, Benha University, Benha, Egypt
Mohamed Ibrahim
Department of Quantitative Methods, School of Business, King Faisal University, Al-Ahsa ۳۱۹۸۲, Saudi Arabia
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