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    題名: Fitting the Generalized Pareto Distribution to Commercial Fire Loss Severity: Evidence from Taiwan
    作者: Lee, Wo-chiang
    貢獻者: 淡江大學務金融學系
    關鍵詞: Risk;Extreme value
    日期: 2012-03
    上傳時間: 2012-07-18 07:36:48 (UTC+8)
    出版者: London : Risk Publications
    摘要: 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.
    關聯: Journal of Risk 14(3), pp.63-80
    顯示於類別:[財務金融學系暨研究所] 期刊論文

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