A New Exponential-X Family: Modeling Extreme Value Data in the Finance Sector | Zendy

Zubair Ahmad | Zendy; Eisa Mahmoudi | Zendy; Rasool Roozegar | Zendy; Morad Alizadeh | Zendy; Ahmed Z. Afify | Zendy

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A New Exponential-X Family: Modeling Extreme Value Data in the Finance Sector

Author(s) -

Zubair Ahmad,

Eisa Mahmoudi,

Rasool Roozegar,

Morad Alizadeh,

Ahmed Z. Afify

Publication year - 2021

Publication title -

mathematical problems in engineering

Language(s) - English

Resource type - Journals

SCImago Journal Rank - 0.262

H-Index - 62

eISSN - 1026-7077

pISSN - 1024-123X

DOI - 10.1155/2021/8759055

Subject(s) - weibull distribution , estimator , consistency (knowledge bases) , exponential function , exponential family , statistics , econometrics , exponential distribution , mathematics , distribution (mathematics) , exponentiated weibull distribution , natural exponential family , discrete mathematics , mathematical analysis

In this paper, a family of statistical models, namely, a new exponential-X family is proposed. A subcase of the introduced family, called the new exponential-Weibull (NE-Weibull) model, is studied. The NE-Weibull model is very competent and possesses 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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