Distributional Nikulin-Rao-Robson validity under a novel gamma extension with characterizations and risk assessment
In this work, a novel probability distribution is introduced and studied. Some characterizations are presented. Several financial risk indicators, such as the value-at-risk, tail-valueat-risk, tail variance, tail Mean-Variance, and mean excess loss function are considered under the maximum likelihoo...
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| Main Authors: | , , , , , |
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| Format: | Article |
| Language: | English |
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Shahid Bahonar University of Kerman
2024-08-01
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| Series: | Journal of Mahani Mathematical Research |
| Subjects: | |
| Online Access: | https://jmmrc.uk.ac.ir/article_4215_230ac439c3da5fc7ff6efd59065ba9c5.pdf |
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| author | Hossein Hamedani Ahmad M. Aboalkhair Khaoula Aidi Ali S. Hadi Haitham M. Yousof Mohamed Ibrahim |
| author_facet | Hossein Hamedani Ahmad M. Aboalkhair Khaoula Aidi Ali S. Hadi Haitham M. Yousof Mohamed Ibrahim |
| author_sort | Hossein Hamedani |
| collection | DOAJ |
| description | In this work, a novel probability distribution is introduced and studied. Some characterizations are presented. Several financial risk indicators, such as the value-at-risk, tail-valueat-risk, tail variance, tail Mean-Variance, and mean excess loss function are considered under the maximum likelihood estimation, the ordinary least squares, the weighted least squares, and the Anderson Darling estimation methods. These four methods were applied for the actuarial evaluation under a simulation study and under an application to insurance claims data. For distributional validation under the complete data, the well-known Nikulin-Rao-Robson statistic is considered. The Nikulin-Rao-Robson test statistic is assessed under a simulation study and under three complete real data sets. For censored distributional validation, a new version of the Nikulin-Rao-Robson statistic is considered. The new Nikulin-Rao-Robson test statistic is assessed under a comprehensive simulation study and under three censored real data sets. |
| format | Article |
| id | doaj-art-f1108240fe174df4a4e1e6d615698b79 |
| institution | Kabale University |
| issn | 2251-7952 2645-4505 |
| language | English |
| publishDate | 2024-08-01 |
| publisher | Shahid Bahonar University of Kerman |
| record_format | Article |
| series | Journal of Mahani Mathematical Research |
| spelling | doaj-art-f1108240fe174df4a4e1e6d615698b792025-01-04T19:29:34ZengShahid Bahonar University of KermanJournal of Mahani Mathematical Research2251-79522645-45052024-08-0113313210.22103/jmmr.2024.22954.15854215Distributional Nikulin-Rao-Robson validity under a novel gamma extension with characterizations and risk assessmentHossein Hamedani0Ahmad M. Aboalkhair1Khaoula Aidi2Ali S. Hadi3Haitham M. Yousof4Mohamed Ibrahim5Department of Mathematical and Statistical Sciences, Marquette University, USADepartment of Quantitative Methods, School of Business, King Faisal University, Al-Ahsa 31982, Saudi ArabiaLaboratory of probability and statistics LaPS, University Badji Mokhtar, Annaba, AlgeriaDepartment of Statistics, American University, Cairo, EgyptDepartment of Statistics, Mathematics and Insurance, Benha University, Benha, EgyptDepartment of Quantitative Methods, School of Business, King Faisal University, Al-Ahsa 31982, Saudi ArabiaIn this work, a novel probability distribution is introduced and studied. Some characterizations are presented. Several financial risk indicators, such as the value-at-risk, tail-valueat-risk, tail variance, tail Mean-Variance, and mean excess loss function are considered under the maximum likelihood estimation, the ordinary least squares, the weighted least squares, and the Anderson Darling estimation methods. These four methods were applied for the actuarial evaluation under a simulation study and under an application to insurance claims data. For distributional validation under the complete data, the well-known Nikulin-Rao-Robson statistic is considered. The Nikulin-Rao-Robson test statistic is assessed under a simulation study and under three complete real data sets. For censored distributional validation, a new version of the Nikulin-Rao-Robson statistic is considered. The new Nikulin-Rao-Robson test statistic is assessed under a comprehensive simulation study and under three censored real data sets.https://jmmrc.uk.ac.ir/article_4215_230ac439c3da5fc7ff6efd59065ba9c5.pdfcharacterizationsdistributional validitionnikulin-rao-robsonrisk assessmentvalue-at-risk |
| spellingShingle | Hossein Hamedani Ahmad M. Aboalkhair Khaoula Aidi Ali S. Hadi Haitham M. Yousof Mohamed Ibrahim Distributional Nikulin-Rao-Robson validity under a novel gamma extension with characterizations and risk assessment Journal of Mahani Mathematical Research characterizations distributional validition nikulin-rao-robson risk assessment value-at-risk |
| title | Distributional Nikulin-Rao-Robson validity under a novel gamma extension with characterizations and risk assessment |
| title_full | Distributional Nikulin-Rao-Robson validity under a novel gamma extension with characterizations and risk assessment |
| title_fullStr | Distributional Nikulin-Rao-Robson validity under a novel gamma extension with characterizations and risk assessment |
| title_full_unstemmed | Distributional Nikulin-Rao-Robson validity under a novel gamma extension with characterizations and risk assessment |
| title_short | Distributional Nikulin-Rao-Robson validity under a novel gamma extension with characterizations and risk assessment |
| title_sort | distributional nikulin rao robson validity under a novel gamma extension with characterizations and risk assessment |
| topic | characterizations distributional validition nikulin-rao-robson risk assessment value-at-risk |
| url | https://jmmrc.uk.ac.ir/article_4215_230ac439c3da5fc7ff6efd59065ba9c5.pdf |
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