Next Article in Journal
FHA Loans in Foreclosure Proceedings: Distinguishing Sources of Interdependence in Competing Risks
Next Article in Special Issue
Modified Stieltjes Transform and Generalized Convolutions of Probability Distributions
Previous Article in Journal
Estimating and Forecasting Generalized Fractional Long Memory Stochastic Volatility Models
Previous Article in Special Issue
Bivariate Kumaraswamy Models via Modified FGM Copulas: Properties and Applications
Article Menu

Export Article

Open AccessArticle
J. Risk Financial Manag. 2018, 11(1), 1; https://doi.org/10.3390/jrfm11010001

The Burr X Pareto Distribution: Properties, Applications and VaR Estimation

1
Department of Measurement and Evaluation, Artvin Çoruh University, Artvin 08000, Turkey
2
Department of Statistics, Hacettepe University, Ankara 06800, Turkey
3
Department of Statistics, Mathematics and Insurance, Benha University, Benha 13511, Egypt
4
School of Mathematics, University of Manchester, Manchester M13 9PL, UK
*
Author to whom correspondence should be addressed.
Received: 31 October 2017 / Revised: 30 November 2017 / Accepted: 18 December 2017 / Published: 21 December 2017
(This article belongs to the Special Issue Extreme Values and Financial Risk)
Full-Text   |   PDF [463 KB, uploaded 21 December 2017]   |  

Abstract

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. View Full-Text
Keywords: Burr X distribution; Pareto distribution; maximum likelihood estimation; heavy tail distribution; value-at-risk Burr X distribution; Pareto distribution; maximum likelihood estimation; heavy tail distribution; value-at-risk
Figures

Figure 1

This is an open access article distributed under the Creative Commons Attribution License which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited. (CC BY 4.0).
SciFeed

Share & Cite This Article

MDPI and ACS Style

Korkmaz, M.Ç.; Altun, E.; Yousof, H.M.; Afify, A.Z.; Nadarajah, S. The Burr X Pareto Distribution: Properties, Applications and VaR Estimation. J. Risk Financial Manag. 2018, 11, 1.

Show more citation formats Show less citations formats

Note that from the first issue of 2016, MDPI journals use article numbers instead of page numbers. See further details here.

Related Articles

Article Metrics

Article Access Statistics

1

Comments

[Return to top]
J. Risk Financial Manag. EISSN 1911-8074 Published by MDPI AG, Basel, Switzerland RSS E-Mail Table of Contents Alert
Back to Top