The Weighted Xgamma Model: Estimation, Risk Analysis and Applications

Authors

  • Majid Hashempour Department of Statistics‎, ‎School of Science, University of Hormozgan‎, ‎Bandar Abbas, Iran
  • Morad Alizadeh Department of Statistics, Faculty of Intelligent Systems Engineering and Data Science, Persian Gulf University, Iran
  • Haitham Yousof Department of Statistics, Mathematics and Insurance, Benha University, Egypt

DOI:

https://doi.org/10.19139/soic-2310-5070-1677

Keywords:

Anderson-Darling, Cullen and Frey plot, Key risk indicators, Risk exposure, Value-at-risk, Xgamma model

Abstract

The weighted xgamma distribution, a new weighted two-parameter lifespan distribution, is introduced in this study. Theoretical characteristics of this model are deduced and thoroughly examined, including quantile function, extreme value, moments, moment generating function, cumulative entropy, and residual cumulative. Some classical estimation methods such as the the maximum likelihood, weighted least square, Anderson Darling and Cramer-von-Mises are considered. A simulation experiments are performed to compare the estimation methods. Four real-life data sets is finally examined to demonstrate the viability of this model. Four key risk indicators are defined and analyzed under the maximum likelihood method. A risk analysis for the exceedances of flood peaks is presented.

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Published

2024-08-31

Issue

Vol. 12 No. 6 (2024)

Section

Research Articles

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How to Cite

The Weighted Xgamma Model: Estimation, Risk Analysis and Applications. (2024). Statistics, Optimization & Information Computing, 12(6), 1573-1600. https://doi.org/10.19139/soic-2310-5070-1677

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