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The full-tails gamma distribution applied to model extreme values

  • Joan del castillo
  • Jalila Daoudi
  • Isabel Serra
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    In this article we show the relationship between the Pareto distribution and the gamma distribution. This shows that the second one, appropriately extended, explains some anomalies that arise in the practical use of extreme value theory. The results are useful to certain phenomena that are fitted by the Pareto distribution but, at the same time, they present a deviation from this law for very large values. Two examples of data analysis with the new model are provided. The first one is on the influence of climate variability on the occurrence of tropical cyclones. The second one on the analysis of aggregate loss distributions associated to operational risk management.

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    File URL: http://arxiv.org/pdf/1211.0130
    File Function: Latest version
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    Paper provided by arXiv.org in its series Papers with number 1211.0130.

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    Date of creation: Nov 2012
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    Handle: RePEc:arx:papers:1211.0130
    Contact details of provider: Web page: http://arxiv.org/

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