Abstract
In generalized measure theory, $$\sigma $$ - $$\oplus $$ -measure is a generalization of the classical measure defined on a pseudo-addition. In this paper, the class of pseudo-exponential distributions based on a class of $$\sigma $$ - $$\oplus $$ -measure is introduced. Some examples of this class are investigated. Then by two real data sets obtained from the last three decades of oil, and the last two decades of the daily natural gas spot prices, we show that the pseudo-exponential distribution is better fitted than exponential distribution using the AIC and BIC information criteria.
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