The Burr X Pareto distribution: properties, applications and VaR estimation
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CitationKorkmaz, M. Ç., Altun, E., Yousof, H. M., Afify, A. Z., & Nadarajah, S. (2018). The Burr X Pareto Distribution: Properties, Applications and VaR Estimation. Journal of Risk and Financial Management, 11(1), 1.
In this paper, a new three-parameter Pareto distribution is introduced and studied. We discuss various mathematical and statistical properties of the new model. Some estimation methods of the model parameters are performed. Moreover, the peaks-over-threshold method is used to estimate Value-at-Risk (VaR) by means of the proposed distribution. We compare the distribution with a few other models to show its versatility in modelling data with heavy tails. VaR estimation with the Burr X Pareto distribution is presented using time series data, and the new model could be considered as an alternative VaR model against the generalized Pareto model for financial institutions.