ABSTRACT A probability property that connects the skew normal (SN) distribution with the
normal distribution is used for proposing a goodness-of-fit test for the composite null …

Within the context of flexible parametric families of distributions, much work has been
dedicated in recent years to the theme of skew-symmetric distributions, or symmetry …

Some research on cyber risk has been conducted in the field of information technology, but
virtually no research exists in the actuarial domain. As a first step toward a more profound …

Modeling insurance data using heavy-tailed distributions is of great interest for actuaries.
Probability distributions present a description of risk exposure, where the level of exposure …

Heavy-tailed distributions play an important role in modelling data in actuarial and financial
sciences. In this article, nine new methods are suggested to define new distributions suitable …

In this paper, we propose a family of heavy tailed distributions, by incorporating a
trigonometric function called the arcsine exponentiated‐X family of distributions. Based on …

A new class of distributions, the generalized log-Moyal, suitable for modelling heavy tailed
data is proposed in this article. This class exhibits desirable properties relevant to actuarial …

The distribution of insurance losses has a positive support and is often unimodal hump-
shaped, right-skewed and with heavy tails. In this work, we introduce a 3-parameter …

Outlier detection in financial time series is made difficult by serial dependence, volatility
clustering and heavy tails. Projections achieving maximal kurtosis proved to be useful for …

The first moment and second central moments of the portfolio return, aka mean and
variance, have been widely employed to assess the expected profit and risk of the portfolio …