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A Pseudo-Pareto Distribution and Concomitants of Its Order Statistics

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Abstract

Pareto distributions are very flexible probability models with various forms and kinds. In this paper, a new bivariate Pseudo-Pareto distribution and its properties are presented and discussed. Main variables, order statistics and concomitants of this distribution are studied and their importance for risk and reliability analysis is explained. Joint and marginal distributions, complementing cumulative distributions and hazard functions of the variables are derived. Numerical illustrations, graphical displays and interpretations for the obtained distributions and derived functions are provided. An implementation example on defaultable bonds is performed.

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Authors and Affiliations

  1. Department of International Trade and Finance, Faculty of Economics, Administrative and Social Sciences, Kadir Has University, Istanbul, Turkey

    Omer L. Gebizlioglu

  2. Department of Statistics, Faculty of Science and Letters, Kırıkkale University, Kırıkkale, Turkey

    Serap Yörübulut

Authors
  1. Omer L. Gebizlioglu
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  2. Serap Yörübulut
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Correspondence to Omer L. Gebizlioglu.

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Gebizlioglu, O.L., Yörübulut, S. A Pseudo-Pareto Distribution and Concomitants of Its Order Statistics. Methodol Comput Appl Probab 18, 1043–1064 (2016). https://doi.org/10.1007/s11009-016-9500-0

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  • DOI: https://doi.org/10.1007/s11009-016-9500-0

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