THRESHOLD PARAMETER OF THE EXPECTED LOSSES
The objective of extreme value analysis is to quantify the probabilistic behavior of unusually large losses using only extreme values above some high threshold rather than using all of the data which gives better fit to tail distribution in comparison to traditional methods with assumption of normal...
| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
Croatian Operational Research Society
2012-12-01
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| Series: | Croatian Operational Research Review |
| Subjects: | |
| Online Access: | http://hrcak.srce.hr/index.php?show=clanak&id_clanak_jezik=142561 |