| Fitting the Generalized Pareto Distribution to Commercial Fire Loss Severity: Evidence from Taiwan | |
|---|---|
| 學年 | 100 |
| 學期 | 2 |
| 出版（發表）日期 | 2012-03-01 |
| 作品名稱 | Fitting the Generalized Pareto Distribution to Commercial Fire Loss Severity: Evidence from Taiwan |
| 作品名稱（其他語言） | |
| 著者 | Lee, Wo-chiang |
| 單位 | 淡江大學務金融學系 |
| 出版者 | London : Risk Publications |
| 著錄名稱、卷期、頁數 | Journal of Risk 14(3), pp.63-80 |
| 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. |
| 關鍵字 | Risk; Extreme value |
| 語言 | en |
| ISSN | 1465-1211 1755-2842 |
| 期刊性質 | 國外 |
| 收錄於 | |
| 產學合作 | |
| 通訊作者 | Lee, Wo-chiang |
| 審稿制度 | 是 |
| 國別 | GBR |
| 公開徵稿 | Y |
| 出版型式 | 紙本 電子版 |
| 相關連結 |
機構典藏連結 ( http://tkuir.lib.tku.edu.tw:8080/dspace/handle/987654321/77749 ) |
| SDGS | 尊嚴就業與經濟發展,產業創新與基礎設施 |
GoogleAnalytics