Benha University

Ahmed Z. Afify

Asst. Professor

Faculty of Commerce Statistics,Math & Insurances

A new exponential-X family: modeling extreme value data in finance sector.

Mathematical Problems in Engineering • 2021
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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.
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