Benha University

محمد سويلم السيد حامد

مدرس

كلية التجارة الاحصاءات والرياضيات والتأمينات

A New Model for Reliability Value-at-Risk Assessments with Applications, Different Methods for Estimation, Non-parametric Hill Estimator and PORT-VaRq Analysis

Pakistan Journal of Statistics and Operation Research (PJSOR) • 2025
العودة
معلومات البحث
المؤلفون Mohamed S. Hamed, et.al
الكلمات المفتاحية Characterizations; Extreme failure data; Key risk indicators; Risk analysis; Reliability; Threashold value-at-risk; PORT-VaRq.
المجلة العلمية Pakistan Journal of Statistics and Operation Research (PJSOR)
الناشر College of Statistical and Actuarial Sciences, University of the Punjab, Lahore, Pakistan 54590 Lahore, PK
المجلد 21
العدد 2
الصفحات 177-212
publication.type International
رابط البحث Open Link
المواد المرفقة Not Available
الملخص
This paper introduces a new extension of the exponential distribution tailored for enhanced reliability and risk
analysis. We incorporate several insurance risk indicators like the value-at-risk, tail mean-variance, tail value-atrisk,
tail variance, and maximum excess loss to significantly refine reliability risk assessments. These indicators
offer vital insights into the financial consequences of extreme risk events and potential for substantial losses. To
assess these risk indicators, we explore various non-Bayesian estimation techniques, including maximum likelihood
estimation, ordinary least squares estimation, Anderson-Darling estimation, right tail Anderson-Darling estimation,
and left tail Anderson-Darling estimation of the second order. Our approach involves a comprehensive simulation
study with varying sample sizes, followed by empirical risk analysis using these methods. We also evaluate the
applicability of the new model on two real reliability data sets. Finally, we apply the risk indicators including the
value-at-risk (VaRq), tail mean-variance (TMVq), tail value-at-risk (TVaRq), tail variance (TVq), and maximum
excess loss (MELq) to analyze reliability risk using failure (relief) and survival data. Finally, the peaks over a
random threshold value-at-risk (PORT-VaRq) analysis under the failure and survival data are presented.
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