New Findings on Actuarial Science from Autonomous University of Barcelona Summarized (The Full Tails Gamma Distribution Applied To Model Extreme…

New Findings on Actuarial Science from Autonomous University of Barcelona Summarized (The Full Tails Gamma Distribution Applied To Model Extreme Values)

By a News Reporter-Staff News Editor at Insurance Weekly News -- Fresh data on Science - Actuarial Science are presented in a new report. According to news reporting originating in Cerdanyola del Valles, Spain, by VerticalNews journalists, research stated, "In this paper, we introduce the simplest exponential dispersion model containing the Pareto and exponential distributions. In this way, we obtain distributions with support (0,8) that in a long interval are equivalent to the Pareto distribution; however, for very high values, decrease like the exponential."

The news reporters obtained a quote from the research from the Autonomous University of Barcelona, "This model is useful for solving relevant problems that arise in the practical use of extreme value theory. The results are applied to two real examples, the first of these on the analysis of aggregate loss distributions associated to the quantitative modelling of operational risk."

According to the news reporters, the research concluded: "The second example shows that the new model improves adjustments to the destructive power of hurricanes, which are among the major causes of insurance losses worldwide."

For more information on this research see: The Full Tails Gamma Distribution Applied To Model Extreme Values. Astin Bulletin, 2017;47(3):895-917. Astin Bulletin can be contacted at: Cambridge Univ Press, Edinburgh Bldg, Shaftesbury Rd, CB2 8RU Cambridge, England.

Our news correspondents report that additional information may be obtained by contacting J. del Castillo, Autonomous University of Barcelona, Dept. of Math, Cerdanyola Del Valles 08193, Spain. Additional authors for this research include J. Daoudi and I. Serra.

Keywords for this news article include: Cerdanyola del Valles, Spain, Europe, Actuarial Science, Science, Autonomous University of Barcelona.

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