scholarly journals New results on the existence of the generalized Pareto equilibrium

2017 ◽  
Vol 18 (1) ◽  
pp. 351-360
Author(s):  
Monica Patriche ◽  
2020 ◽  
Vol 8 (1) ◽  
pp. 157-171 ◽  
Author(s):  
Himchan Jeong ◽  
Emiliano A. Valdez

AbstractFor observations over a period of time, Bayesian credibility premium may be used to predict the value of a response variable for a subject, given previously observed values. In this article, we formulate Bayesian credibility premium under a change of probability measure within the copula framework. Such reformulation is demonstrated using the multivariate generalized beta of the second kind (GB2) distribution. Within this family of GB2 copulas, we are able to derive explicit form of Bayesian credibility premium. Numerical illustrations show the application of these estimators in determining experience-rated insurance premium. We consider generalized Pareto as a special case.


2018 ◽  
Vol 246 ◽  
pp. 01096
Author(s):  
Qiumei Ma ◽  
Lihua Xiong ◽  
Chong-Yu Xu ◽  
Shenglian Guo

Satellite precipitation estimates (SPE) product with high spatiotemporal resolution is a potential alternative to traditional ground-based gauge precipitation. However, SPE is frequently biased due to its indirect measurement, and thus bias correction is necessary before applying to a specific region. An improved distribution mapping method, i.e., Extended Mixture Distribution (EMD) of censored Gamma and generalized Pareto distributions, was established. The advantage of EMD method is that it describes both moderate and extreme values well and carries on the traditional censored, shifted Gamma distribution to combine the precipitation occurrence/non-occurrence events together. Then the EMD method was applied to the Integrated Multi-satellitE Retrievals for GPM product (IMERG) as statistical post-processing over Yangtze River basin. The Version-2 Gridded dataset of daily Surface Precipitation from China Meteorological Administration (GSP-CMA) was taken as reference. The adequacy of bias corrected IMERG precipitation was assessed and the results showed that (1) the Root Mean Squared Error and Relative Bias between bias-corrected IMERG precipitation and reference are significantly reduced relative to the raw IMERG estimates; (2) the performance of extreme values of IMERG in Yangtze River basin is enhanced since both the under- and over-estimation of the raw IMERG are compromised, due to the generalized Pareto distribution introduced in EMD which is enable to describe the extreme value distribution. This highlights the improved distribution mapping method, EMD is flexible and robust to bias correct the IMERG precipitation to obtain higher accuracy of SPE despite the coarse resolution of reference.


IEEE Access ◽  
2019 ◽  
Vol 7 ◽  
pp. 24889-24897
Author(s):  
Feng Wang ◽  
Yunquan Dong

2020 ◽  
Vol 72 (2) ◽  
pp. 89-110
Author(s):  
Manoj Chacko ◽  
Shiny Mathew

In this article, the estimation of [Formula: see text] is considered when [Formula: see text] and [Formula: see text] are two independent generalized Pareto distributions. The maximum likelihood estimators and Bayes estimators of [Formula: see text] are obtained based on record values. The Asymptotic distributions are also obtained together with the corresponding confidence interval of [Formula: see text]. AMS 2000 subject classification: 90B25


2018 ◽  
Vol 56 (6) ◽  
pp. 755-770 ◽  
Author(s):  
Rui Teixeira ◽  
Maria Nogal ◽  
Alan O'Connor

2017 ◽  
Vol 6 (3) ◽  
pp. 141 ◽  
Author(s):  
Thiago A. N. De Andrade ◽  
Luz Milena Zea Fernandez ◽  
Frank Gomes-Silva ◽  
Gauss M. Cordeiro

We study a three-parameter model named the gamma generalized Pareto distribution. This distribution extends the generalized Pareto model, which has many applications in areas such as insurance, reliability, finance and many others. We derive some of its characterizations and mathematical properties including explicit expressions for the density and quantile functions, ordinary and incomplete moments, mean deviations, Bonferroni and Lorenz curves, generating function, R\'enyi entropy and order statistics. We discuss the estimation of the model parameters by maximum likelihood. A small Monte Carlo simulation study and two applications to real data are presented. We hope that this distribution may be useful for modeling survival and reliability data.


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