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Open AccessArticle

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

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Department of Measurement and Evaluation, Artvin Çoruh University, Artvin 08000, Turkey
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Department of Statistics, Hacettepe University, Ankara 06800, Turkey
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Department of Statistics, Mathematics and Insurance, Benha University, Benha 13511, Egypt
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School of Mathematics, University of Manchester, Manchester M13 9PL, UK
*
Author to whom correspondence should be addressed.
J. Risk Financial Manag. 2018, 11(1), 1; https://doi.org/10.3390/jrfm11010001
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)
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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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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