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Abstract
A new weighted exponentiated-exponential distribution is proposed to model financial data. It has heavy-tailed behavior which is suitable for data with right tails. Some actuarial measures for the new model are determined, and simulations are reported. Its parameters are estimated using nine approaches including a Bayesian method. A new Log-WEx-Exponential regression model is defined for right censored data. The importance of the new models is proved by applications to financial data.
Keywords
Actuarial measures
Regression model
Bayesian estimation
Censored data
Heavy-tailed distributions
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Copyright © 2023 Pakistan Journal of Statistics and Operation Research
Creative Commons Attribution 4.0 International (CC BY 4.0)
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How to Cite
Afify, A. Z., Pescim, R. R., Cordeiro, G. M., & Mahran, H. A. (2023). A New Heavy-Tailed Exponential Distribution: Inference, Regression Model and Applications. Pakistan Journal of Statistics and Operation Research, 19(3), 395-411. https://doi.org/10.18187/pjsor.v19i3.4230