Distributional Censored and Uncensored Validation Testing under a Modified Test Statistic with Risk Analysis and Assessment
This paper introduces and studies a unique probability distribution. The maximum likelihood estimation, the ordinary least squares, the weighted least squares, and the Anderson–Darling estimation methods all take into account a number of financial risk indicators, including the value-at-risk, tail-v...
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| Main Authors: | , , , , , , |
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| Format: | Article |
| Language: | English |
| Published: |
Wiley
2023-01-01
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| Series: | Journal of Mathematics |
| Online Access: | http://dx.doi.org/10.1155/2023/8852528 |
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| author | Yusra Tashkandy Walid Emam Gauss M. Cordeiro M. Masoom Ali Khaoula Aidi Haitham M. Yousof Mohamed Ibrahim |
| author_facet | Yusra Tashkandy Walid Emam Gauss M. Cordeiro M. Masoom Ali Khaoula Aidi Haitham M. Yousof Mohamed Ibrahim |
| author_sort | Yusra Tashkandy |
| collection | DOAJ |
| description | This paper introduces and studies a unique probability distribution. The maximum likelihood estimation, the ordinary least squares, the weighted least squares, and the Anderson–Darling estimation methods all take into account a number of financial risk indicators, including the value-at-risk, tail-value-at-risk, tail variance, tail mean-variance, and mean excess loss function. These four approaches were used in a simulation study and an application to insurance claims data for the actuarial evaluation. The well-known Nikulin–Rao–Robson statistic is taken into consideration for distributional validation under the whole set of data. Three complete actual datasets and a simulation study are used to evaluate the Nikulin–Rao–Robson test statistic. An updated version of the Nikulin–Rao–Robson statistic is taken into consideration for censored distributional validation. Three censored actual datasets and a thorough simulation analysis are used to evaluate the novel Nikulin–Rao–Robson test statistic. |
| format | Article |
| id | doaj-art-9cdce1073de649f481ba713103af7ddd |
| institution | Kabale University |
| issn | 2314-4785 |
| language | English |
| publishDate | 2023-01-01 |
| publisher | Wiley |
| record_format | Article |
| series | Journal of Mathematics |
| spelling | doaj-art-9cdce1073de649f481ba713103af7ddd2025-08-20T03:38:14ZengWileyJournal of Mathematics2314-47852023-01-01202310.1155/2023/8852528Distributional Censored and Uncensored Validation Testing under a Modified Test Statistic with Risk Analysis and AssessmentYusra Tashkandy0Walid Emam1Gauss M. Cordeiro2M. Masoom Ali3Khaoula Aidi4Haitham M. Yousof5Mohamed Ibrahim6Department of Statistics and Operations ResearchDepartment of Statistics and Operations ResearchUniversidade Federal de PernambucoDepartment of Mathematical SciencesLaboratory of Probability and Statistics LaPSDepartment of Statistics, Mathematics and InsuranceDepartment of AppliedThis paper introduces and studies a unique probability distribution. The maximum likelihood estimation, the ordinary least squares, the weighted least squares, and the Anderson–Darling estimation methods all take into account a number of financial risk indicators, including the value-at-risk, tail-value-at-risk, tail variance, tail mean-variance, and mean excess loss function. These four approaches were used in a simulation study and an application to insurance claims data for the actuarial evaluation. The well-known Nikulin–Rao–Robson statistic is taken into consideration for distributional validation under the whole set of data. Three complete actual datasets and a simulation study are used to evaluate the Nikulin–Rao–Robson test statistic. An updated version of the Nikulin–Rao–Robson statistic is taken into consideration for censored distributional validation. Three censored actual datasets and a thorough simulation analysis are used to evaluate the novel Nikulin–Rao–Robson test statistic.http://dx.doi.org/10.1155/2023/8852528 |
| spellingShingle | Yusra Tashkandy Walid Emam Gauss M. Cordeiro M. Masoom Ali Khaoula Aidi Haitham M. Yousof Mohamed Ibrahim Distributional Censored and Uncensored Validation Testing under a Modified Test Statistic with Risk Analysis and Assessment Journal of Mathematics |
| title | Distributional Censored and Uncensored Validation Testing under a Modified Test Statistic with Risk Analysis and Assessment |
| title_full | Distributional Censored and Uncensored Validation Testing under a Modified Test Statistic with Risk Analysis and Assessment |
| title_fullStr | Distributional Censored and Uncensored Validation Testing under a Modified Test Statistic with Risk Analysis and Assessment |
| title_full_unstemmed | Distributional Censored and Uncensored Validation Testing under a Modified Test Statistic with Risk Analysis and Assessment |
| title_short | Distributional Censored and Uncensored Validation Testing under a Modified Test Statistic with Risk Analysis and Assessment |
| title_sort | distributional censored and uncensored validation testing under a modified test statistic with risk analysis and assessment |
| url | http://dx.doi.org/10.1155/2023/8852528 |
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