Ahmed Z. Afify
Asst. Professor
A new exponential-X family: modeling extreme value data in finance sector.
Mathematical Problems in Engineering • 2021
Publication Information
Authors
Ahmad, Z., Mahmoudi, E. Roozegar, R. Alizadeh, M. and Afify, A. Z.
Keywords
Not Available
Journal
Mathematical Problems in Engineering
Publisher
Not Available
Volume
2021
Issue
Not Available
Pages
1-14
publication.type
International
Paper Link
Open Link
Supplementary Materials
Not Available
Abstract
In this paper, a family of statistical models, namely, a new exponential-X family is proposed. A sub-case of the introduced family, called the new exponential-Weibull (NE-Weibull) model, is studied. The NE-Weibull model is very competent and possessing heavy-tailed properties. The maximum likelihood estimators of its parameters are derived. The consistency and efficiency of these estimators are assessed in a brief simulation study. Finally, the effectiveness of the NE-Weibull distribution is illustrated by modeling real insurance claims data. The practical analysis shows that the NE-Weibull distribution outclassed other distributions and it can be a better choice for modeling data in the finance sector.
