期刊名称：International Journal of Statistics and Probability
印刷版ISSN：1927-7032
电子版ISSN：1927-7040
出版年度：2017
卷号：6
期号：3
页码：141
DOI：10.5539/ijsp.v6n3p141
出版社：Canadian Center of Science and Education
摘要：We study a three-parameter model named the gamma generalized Pareto distribution. This distribution extends the generalized Pareto model, which has many applications in areas such as insurance, reliability, finance and many others. We derive some of its characterizations and mathematical properties including explicit expressions for the density and quantile functions, ordinary and incomplete moments, mean deviations, Bonferroni and Lorenz curves, generating function, R\'enyi entropy and order statistics. We discuss the estimation of the model parameters by maximum likelihood. A small Monte Carlo simulation study and two applications to real data are presented. We hope that this distribution may be useful for modeling survival and reliability data.
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