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    Please use this identifier to cite or link to this item: http://tkuir.lib.tku.edu.tw:8080/dspace/handle/987654321/77749


    Title: Fitting the Generalized Pareto Distribution to Commercial Fire Loss Severity: Evidence from Taiwan
    Authors: Lee, Wo-chiang
    Contributors: 淡江大學務金融學系
    Keywords: Risk;Extreme value
    Date: 2012-03
    Issue Date: 2012-07-18 07:36:48 (UTC+8)
    Publisher: London : Risk Publications
    Abstract: This paper focuses on modeling and estimating tail parameters of loss distributions from Taiwanese commercial fire loss severity. Using extreme value theory, we employ the generalized Pareto distribution (GPD) and compare it with standard parametric modeling based on lognormal, exponential, gamma andWeibull distributions. In an empirical study, we determine the thresholds of the GPD using mean excess plots and Hill plots. Kolmogorov–Smirnov and likelihood ratio goodness-of-fit tests are conducted, and value-at-risk and expected shortfall are calculated. We also construct confidence intervals for the estimates using the
    bootstrap method.
    Relation: Journal of Risk 14(3), pp.63-80
    Appears in Collections:[財務金融學系暨研究所] 期刊論文

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