A New Exponential-X Family: Modeling Extreme Value Data in the Finance Sector. (21st October 2021)

• Record Type: Journal Article
• Authors: Ahmad, Zubair; Mahmoudi, Eisa; Roozegar, Rasool; Alizadeh, Morad; Afify, Ahmed Z.
• Other Names: Al-Omari Amer Academic Editor.
• Is Part Of: Mathematical problems in engineering. Volume 2021(2021)
• Publication Date: 2021-10-21
• Subjects: Engineering mathematics -- Periodicals; 510.2462
• DOI: 10.1155/2021/8759055
• Languages: English
• ISSNs: 1024-123X

Abstract

Abstract : In this paper, a family of statistical models, namely, a new exponential- X family is proposed. A subcase of the introduced family, called the new exponential-Weibull (NE-Weibull) model, is studied. The NE-Weibull model is very competent and possesses heavy-tailed properties. The maximum likelihood estimators of its parameters are derived. The consistency and efficiency of these estimators are assessed in a brief simulation study. Finally, the effectiveness of the NE-Weibull distribution is illustrated by modeling real insurance claims data. The practical analysis shows that the NE-Weibull distribution outclassed other distributions and it can be a better choice for modeling data in the finance sector.