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
تعداد صفحه
4
كليدواژه
Risk measurement , Value at risk , Normal Mean , variance mixture model , Skew Laplace distribution.
سال انتشار
1396
عنوان كنفرانس
اولين همايش ملي روشهاي مدرن در قيمت گذاري هاي بيمه اي و آمارهاي صنعتي
زبان مدرك
انگليسي
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.
كشور
ايران
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