Artículo de Publicación Periódica:
A truncated version of the birnbaum-saunders distribution with an application in financial risk

dc.contributor.authorAhmed, Syed Ejaz
dc.contributor.authorCastro-Kuriss, Claudia
dc.contributor.authorFlores, Esteban
dc.contributor.authorLeiva, Víctor
dc.contributor.authorSanhueza, Antonio
dc.date.accessioned2022-05-02T13:49:16Z
dc.date.available2022-05-02T13:49:16Z
dc.date.issued2010-01
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.issn1012-9367
dc.identifier.urihttp://ri.itba.edu.ar/handle/123456789/3841
dc.language.isoenen
dc.subjectRIESGOes
dc.subjectFINANZASes
dc.subjectGESTION DE RIESGOSes
dc.subjectESTADISTICAes
dc.titleA truncated version of the birnbaum-saunders distribution with an application in financial risken
dc.typeArtículos de Publicaciones Periódicases
dc.typeinfo:eu-repo/semantics/acceptedVersion
dspace.entity.typeArtículo de Publicación Periódica
itba.description.filiationFil: Ahmed, Syed Ejaz. University of Windsor; Canada.
itba.description.filiationFil: Castro-Kuriss, Claudia. Instituto Tecnológico de Buenos Aires; Argentina.
itba.description.filiationFil: Flores, Esteban. Instituto Tecnológico Autónomo de México; México.
itba.description.filiationFil: Leiva, Víctor. Pontificia Universidad Católica de Valparaíso; Chile.
itba.description.filiationFil: Sanhueza, Antonio. Universidad de La Frontera; Chile.
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