شماره ركورد كنفرانس :
4155
عنوان مقاله :
Application of Skew Laplace Distribution in Risk Measures
پديدآورندگان :
Naderi Mehrdad mehrdad.naderi@ymail.com Shahid Bahonar University of Kerman , Mozafari Mahdieh mozafari@bam.ac.ir Higher Education Complex of Bam
كليدواژه :
Risk measurement , Value at risk , Normal Mean , variance mixture model , Skew Laplace distribution.
عنوان كنفرانس :
اولين همايش ملي روشهاي مدرن در قيمت گذاري هاي بيمه اي و آمارهاي صنعتي
چكيده فارسي :
Financially, it is widely acceptable that the asset returns exhibit asymmetric features such as skewness and heavy tails. To deal with the asset market data, we consider the skew Laplace (SL) distribution as a new benchmark model. The numerical results show that the new model can outperform many existing model to evaluate risk measures.
