a preprint is available at URL

with motivation for Operational Risk Modeling arising from an influential paper in Risk modeling in Basel II brought out by Dutta and Perry after they studied classes of distributions from this family for a large number of loss data sets, see

http://papers.ssrn.com/sol3/papers.cfm?abstract_id=918880.

In addition there is an excellent relation between g-and-h family of distributions and EVT for those interested in ABC for extremes in the paper of Degen, Embrechts and Lambrigger – see

http://www.actuaires.org/ASTIN/Colloquia/Orlando/Papers/Degen.pdf

]]>Thank you, Dennis, this is a great benchmark, so the package should be most useful!

]]>Marginally relatedly, Gareth Peters and I applied ABC to g-and-h distributions (milldy similar to g-and-k) in the Journal of Operational Risk in 2006. I haven’t seen anything in this area earlier than this.

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