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Autre publication scientifique Année : 2016

The Lila distribution and its applications in risk modelling

Bertrand K. Hassani
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Wei Yang
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  • PersonId : 992404

Résumé

Risk date sets tend to have heavy-tailed, sometimes bi-modal, empirical distributions, especially in operational risk, market risk and customers behaviour data sets. To capture these observed “unusual” features, we construct a new probability distribution and call it the lowered-inside-leveraged-aside (Lila) distribution as it transfers the embedded weight of data from the body to the tail. This newly constructed distribution can be viewed as a parametric distribution with two peaks. It is constructed through the composition of a Sigmoid-shaped continuous increasing differentiable function with cumulative distribution functions of random variables. Examples and some basic properties of the Lila distribution are illustrated. As an application, we fit a Lila distribution to a set of generated data by using the quantile distance minimisation method (alternative methodologies have been tested too, such as maximum likelihood estimation).
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Dates et versions

halshs-01400186, version 1 (21-11-2016)

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  • HAL Id : halshs-01400186 , version 1

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Bertrand K. Hassani, Wei Yang. The Lila distribution and its applications in risk modelling. 2016. ⟨halshs-01400186⟩
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Dernière date de mise à jour le 05/05/2024
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