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

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

Department of Measurement and Evaluation, Artvin Çoruh University, Artvin 08000, Turkey
Department of Statistics, Hacettepe University, Ankara 06800, Turkey
Department of Statistics, Mathematics and Insurance, Benha University, Benha 13511, Egypt
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)
View Full-Text   |   Download PDF [463 KB, uploaded 21 December 2017]   |  


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

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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).

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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.

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J. Risk Financial Manag. EISSN 1911-8074 Published by MDPI AG, Basel, Switzerland RSS E-Mail Table of Contents Alert
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