Term of Award

Fall 2013

Degree Name

Master of Science in Mathematics (M.S.)

Document Type and Release Option

Thesis (open access)

Department

Department of Mathematical Sciences

Committee Chair

Broderick Oluyede

Committee Member 1

Charles Champ

Committee Member 2

Hani Samawi

Abstract

In this thesis, tail conditional expectation (TCE) in risk analysis, an important measure for right-tail risk, is presented. This value is generally based on the quantile of the loss distribution. Explicit formulas of several tail conditional expectations and inequality measures for Dagum-type models are derived. In addition, a new class of weighted Burr-III (WBIII) distribution is presented. The statistical properties of this distribution including hazard and reverse hazard functions, moments, coefficient of variation, skewness, and kurtosis, inequality measures, entropy are derived. Also, Fisher information and maximum likelihood estimates of the model parameters are obtained.

Available for download on Monday, December 10, 2018

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