文章基本信息

标题：The Burr X Pareto Distribution: Properties, Applications and VaR Estimation
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作者：Korkmaz, Mustafa Ç. ; Altun, Emrah ; Yousof, Haitham M. 等
期刊名称：Journal of Risk and Financial Management
印刷版ISSN：1911-8074
出版年度：2017
卷号：11
期号：1
页码：1-16
出版社：MDPI, Open Access Journal
摘要：In this paper, a new three-parameter Pareto distribution is introduced and studied. We discuss various mathematical and statistical properties of the new model. Some estimation methods of the model parameters are performed. Moreover, the peaks-over-threshold method is used to estimate Value-at-Risk (VaR) by means of the proposed distribution. We compare the distribution with a few other models to show its versatility in modelling data with heavy tails. VaR estimation with the Burr X Pareto distribution is presented using time series data, and the new model could be considered as an alternative VaR model against the generalized Pareto model for financial institutions.
关键词：Burr X distribution; Pareto distribution; maximum likelihood estimation; heavy tail distribution; value-at-risk