Benha University

Ahmed Z. Afify

Asst. Professor

Faculty of Commerce Statistics,Math & Insurances

The Burr X Pareto distribution: properties, applications and VaR estimation.

Journal of Risk and Financial Management • 2018
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Publication Information
Authors Korkmaz, M. C., Altun, E., Yousof, H. M., Afify, A. Z. and Nadarajah, S.
Keywords Not Available
Journal Journal of Risk and Financial Management
Publisher Not Available
Volume 11
Issue Not Available
Pages 1-6
publication.type International
Paper Link Open Link
Supplementary Materials Not Available
Abstract
In this paper, a new three-parameter Pareto distribution is introduced and studied. We discuss various mathematical and statistical properties of the new model. Some estimation methods of the model parameters are performed. Moreover, the peaks-over-threshold method is used to estimate Value-at-Risk (VaR) by means of the proposed distribution. We compare the distribution with a few other models to show its versatility in modelling data with heavy tails. VaR estimation with the Burr X Pareto distribution is presented using time series data, and the new model could be considered as an alternative VaR model against the generalized Pareto model for financial institutions.
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