Closed-form expressions for basic risk measures, such as value-at-risk and tail value-at-risk, are given for a family of statistical distributions that are specially suitable for right-skewed positive random variables. This is useful for risk aggregation in many insurance and financial...

The Pareto-positive stable (PPS) distribution is introduced as a new model for describing city size data in a country. The PPS distribution provides a flexible model for fitting the entire range of a set of city size data, where zero and unimodality are possible, and the classical Pareto and...

The double Pareto-positive stable (dPPS) distribution is introduced as a new model for describing countries’ global current account balance data. The dPPS distribution provides a flexible model for fitting the entire range of a set of current account data (both surplus and deficit), where zero...

In a recent paper in this journal [Q. Guo, L. Gao, Distribution of individual incomes in China between 1992 and 2009, Physica A 391 (2012) 5139–5145], a new family of distributions for modeling individual incomes in China was proposed. This family is the so-called Modified Gaussian (MG)...

Let L0 consider an initial Lorenz curve. In this paper we propose a general methodology for obtaining new classes of parametric Lorenz or Leimkuhler curves that contain the original curve as limiting or special case. The new classes introduce additional parameters in the original family,...

The study of the informetric distributions, such as distributions of citations and impact factors is one of the most relevant topics in the current informetric research. Several laws for modeling impact factor based on ranks have been proposed, including Zipf, Lavalette and the two-exponent law...

This paper focuses on modelling the severity distribution. We directly model the small, moderate and large losses with the Pareto Positive Stable (PPS) distribution and thus it is not necessary to fix a threshold for the tail behaviour. Estimation with the method of moments is straightforward....

In a recent paper Rohde (2009) proposes a new functional form for estimating the Lorenz curve. This paper demonstrates that the model proposed by Rohde is a reparameterization of the model proposed by Aggarwal (1984). New and important properties of the model are established.

In the risk theory context, let us consider the classical collective model. The aim of this paper is to obtain a flexible bivariate joint distribution for modelling the couple (S,N), where N is a count variable and S=X1+...+XN is the total claim amount. A generalization of the classical...

This article focuses on business risk management in the insurance industry. A methodology for estimating the profit loss caused by each customer in the portfolio due to policy cancellation is proposed. Using data from a European insurance company, customer behaviour over time is analyzed in...