A truncated version of the birnbaum-saunders distribution with an application in financial risk

"In many Solvency and Basel loss data, there are thresholds or deductibles that affect the analysis capability. On the other hand, the Birnbaum-Saunders model has received great attention during the last two decades and it can be used as a loss distribution. In this paper, we propose a solution...

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Detalles Bibliográficos
Autores principales: Ahmed, Syed Ejaz, Castro-Kuriss, Claudia, Flores, Esteban, Leiva, Víctor, Sanhueza, Antonio
Formato: Artículos de Publicaciones Periódicas acceptedVersion
Lenguaje:Inglés
Publicado: 2022
Materias:
RIESGO
FINANZAS
GESTION DE RIESGOS
ESTADISTICA
Acceso en línea:http://ri.itba.edu.ar/handle/123456789/3841
Aporte de:
Repositorio Institucional Instituto Tecnológico de Buenos Aires (ITBA) de Instituto Tecnológico de Buenos Aires (ITBA)
id I32-R138-123456789-3841
record_format dspace
spelling I32-R138-123456789-38412022-12-07T13:05:40Z A truncated version of the birnbaum-saunders distribution with an application in financial risk Ahmed, Syed Ejaz Castro-Kuriss, Claudia Flores, Esteban Leiva, Víctor Sanhueza, Antonio RIESGO FINANZAS GESTION DE RIESGOS ESTADISTICA "In many Solvency and Basel loss data, there are thresholds or deductibles that affect the analysis capability. On the other hand, the Birnbaum-Saunders model has received great attention during the last two decades and it can be used as a loss distribution. In this paper, we propose a solution to the problem of deductibles using a truncated version of the Birnbaum-Saunders distribution. The probability density function, cumulative distribution function, and moments of this distribution are obtained. In addition, properties regularly used in insurance industry, such as multiplication by a constant (inflation effect) and reciprocal transformation, are discussed. Furthermore, a study of the behavior of the risk rate and of risk measures is carried out. Moreover, estimation aspects are also considered in this work. Finally, an application based on real loss data from a commercial bank is conducted." 2022-05-02T13:49:16Z 2022-05-02T13:49:16Z 2010-01 Artículos de Publicaciones Periódicas info:eu-repo/semantics/acceptedVersion 1012-9367 http://ri.itba.edu.ar/handle/123456789/3841 en application/pdf
institution Instituto Tecnológico de Buenos Aires (ITBA)
institution_str I-32
repository_str R-138
collection Repositorio Institucional Instituto Tecnológico de Buenos Aires (ITBA)
language Inglés
topic RIESGO
FINANZAS
GESTION DE RIESGOS
ESTADISTICA
spellingShingle RIESGO
FINANZAS
GESTION DE RIESGOS
ESTADISTICA
Ahmed, Syed Ejaz
Castro-Kuriss, Claudia
Flores, Esteban
Leiva, Víctor
Sanhueza, Antonio
A truncated version of the birnbaum-saunders distribution with an application in financial risk
topic_facet RIESGO
FINANZAS
GESTION DE RIESGOS
ESTADISTICA
description "In many Solvency and Basel loss data, there are thresholds or deductibles that affect the analysis capability. On the other hand, the Birnbaum-Saunders model has received great attention during the last two decades and it can be used as a loss distribution. In this paper, we propose a solution to the problem of deductibles using a truncated version of the Birnbaum-Saunders distribution. The probability density function, cumulative distribution function, and moments of this distribution are obtained. In addition, properties regularly used in insurance industry, such as multiplication by a constant (inflation effect) and reciprocal transformation, are discussed. Furthermore, a study of the behavior of the risk rate and of risk measures is carried out. Moreover, estimation aspects are also considered in this work. Finally, an application based on real loss data from a commercial bank is conducted."
format Artículos de Publicaciones Periódicas
acceptedVersion
author Ahmed, Syed Ejaz
Castro-Kuriss, Claudia
Flores, Esteban
Leiva, Víctor
Sanhueza, Antonio
author_facet Ahmed, Syed Ejaz
Castro-Kuriss, Claudia
Flores, Esteban
Leiva, Víctor
Sanhueza, Antonio
author_sort Ahmed, Syed Ejaz
title A truncated version of the birnbaum-saunders distribution with an application in financial risk
title_short A truncated version of the birnbaum-saunders distribution with an application in financial risk
title_full A truncated version of the birnbaum-saunders distribution with an application in financial risk
title_fullStr A truncated version of the birnbaum-saunders distribution with an application in financial risk
title_full_unstemmed A truncated version of the birnbaum-saunders distribution with an application in financial risk
title_sort truncated version of the birnbaum-saunders distribution with an application in financial risk
publishDate 2022
url http://ri.itba.edu.ar/handle/123456789/3841
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