Heavy-Tailed Log-Logistic Distribution: Properties, Risk Measures and Applications

  • Abd-Elmonem A. M. Teamah Tanta University
  • Ahmed A. Elbanna Tanta University
  • Ahmed M. Gemeay Tanta University
Keywords: Risk measures; log-logistic distribution; parameter estimation; tail variance premium; VaR; TVaR.


Heavy tailed distributions have a big role in studying risk data sets. Statisticians in many cases search and try to find new or relatively new statistical models to fit data sets in different fields. This article introduced a relatively new heavy-tailed statistical model by using alpha power transformation and exponentiated log-logistic distribution which called alpha power exponentiated log-logistic distribution. Its statistical properties were derived mathematically such as moments, moment generating function, quantile function, entropy, inequality curves and order statistics. Five estimation methods were introduced mathematically and the behaviour of the proposed model parameters was checked by randomly generated data sets and these estimation methods. Also, some actuarial measures were deduced mathematically such as value at risk, tail value at risk, tail variance and tail variance premium. Numerical values for these measures were performed and proved that the proposed distribution has a heavier tail than others compared models. Finally, three real data sets from different fields were used to show how these proposed models fitting these data sets than other many wells known and related models.


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How to Cite
A. M. Teamah, A.-E., A. Elbanna, A., & M. Gemeay, A. (2021). Heavy-Tailed Log-Logistic Distribution: Properties, Risk Measures and Applications. Statistics, Optimization & Information Computing, 9(4), 910-941. https://doi.org/10.19139/soic-2310-5070-1220
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