A truncated version of the birnbaum-saunders distribution with an application in financial risk

Ahmed, Syed Ejaz; Castro-Kuriss, Claudia; Flores, Esteban; Leiva, Víctor; Sanhueza, Antonio

artículo de publicación periódica.page.titleprefix
A truncated version of the birnbaum-saunders distribution with an application in financial risk

dc.contributor.author	Ahmed, Syed Ejaz
dc.contributor.author	Castro-Kuriss, Claudia
dc.contributor.author	Flores, Esteban
dc.contributor.author	Leiva, Víctor
dc.contributor.author	Sanhueza, Antonio
dc.date.accessioned	2022-05-02T13:49:16Z
dc.date.available	2022-05-02T13:49:16Z
dc.date.issued	2010-01
dc.description.abstract	"In many Solvency and Basel loss data, there are thresholds or deductibles that affect the analysis capability. On the other hand, the Birnbaum-Saunders model has received great attention during the last two decades and it can be used as a loss distribution. In this paper, we propose a solution to the problem of deductibles using a truncated version of the Birnbaum-Saunders distribution. The probability density function, cumulative distribution function, and moments of this distribution are obtained. In addition, properties regularly used in insurance industry, such as multiplication by a constant (inflation effect) and reciprocal transformation, are discussed. Furthermore, a study of the behavior of the risk rate and of risk measures is carried out. Moreover, estimation aspects are also considered in this work. Finally, an application based on real loss data from a commercial bank is conducted."	en
dc.identifier.issn	1012-9367
dc.identifier.uri	http://ri.itba.edu.ar/handle/123456789/3841
dc.language.iso	en	en
dc.subject	RIESGO	es
dc.subject	FINANZAS	es
dc.subject	GESTION DE RIESGOS	es
dc.subject	ESTADISTICA	es
dc.title	A truncated version of the birnbaum-saunders distribution with an application in financial risk	en
dc.type	Artículos de Publicaciones Periódicas	es
dc.type	info:eu-repo/semantics/acceptedVersion
dspace.entity.type	Artículo de Publicación Periódica
itba.description.filiation	Fil: Ahmed, Syed Ejaz. University of Windsor; Canada.
itba.description.filiation	Fil: Castro-Kuriss, Claudia. Instituto Tecnológico de Buenos Aires; Argentina.
itba.description.filiation	Fil: Flores, Esteban. Instituto Tecnológico Autónomo de México; México.
itba.description.filiation	Fil: Leiva, Víctor. Pontificia Universidad Católica de Valparaíso; Chile.
itba.description.filiation	Fil: Sanhueza, Antonio. Universidad de La Frontera; Chile.