Möstel L, Fischer M, Pfeuffer M (2024)
Publication Type: Journal article
Publication year: 2024
Book Volume: 19
Pages Range: 1-27
Journal Issue: 1
Similarly to many other quantitative disciplines, operational risk modeling requires flexible distributions defined for non-negative values, which enable heavy-tail behavior. Because they can account for the different requirements related to “extreme” observations in the tail and “ordinary” observations in the body of such distributions, so-called composite or spliced models have gained increasing attention in recent years. The focus of this paper is on composite Tukey-type distributions. This term describes a class of distributions whose tails follow a generalized truncated Tukey-type distribution, which allows for greater flexibility than the commonly used generalized Pareto distribution. After reviewing the classical Tukey-type family, we discuss the leptokurtic properties that emerge from a general kurtosis transformation, and we study several estimation methods for the truncated Tukey-type distribution. Finally, we empirically demonstrate the flexibility of our new composite model with an operational risk data set and business interruption losses.
APA:
Möstel, L., Fischer, M., & Pfeuffer, M. (2024). Composite Tukey-type distributions with application to operational risk management. Journal of Operational Risk, 19(1), 1-27. https://doi.org/10.21314/JOP.2023.010
MLA:
Möstel, Linda, Matthias Fischer, and Marius Pfeuffer. "Composite Tukey-type distributions with application to operational risk management." Journal of Operational Risk 19.1 (2024): 1-27.
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