Modeling extreme values by the residual coefficient of variation

descriptionPublicationkeyboard_double_arrow_right Article , Preprint , Other literature type 01 Jan 2015Embargo end date: 01 Jan 2015 Spain Publisher:arXivJournal:SORT. Statistics and Operations Research Transactions (eissn: 2013-8830,

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Authors: del Castillo, Joan; Padilla, Maria;

doi: 10.48550/arxiv.1510.00179 , 10.2436/20.8080.02.45

arXiv: 1510.00179

handle: 20.500.11797/RP2452 , 2117/112747

Modeling extreme values by the residual coefficient of variation

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Abstract

The possibilities of the use of the coefficient of variation over a high threshold in tail modelling are discussed. The paper also considers multiple threshold tests for a generalized Pareto distribution, together with a threshold selection algorithm. One of the main contributions is to extend the methodology based on moments to all distributions, even without finite moments. These techniques are applied to Danish fire insurance losses.

Country

Spain

Related Organizations

Autonomous University of Barcelona
Spain
Universitat Polite`cnica de Catalunya
Spain
Universitat Politècnica de Catalunya
Spain

Keywords

High quantile estimation, Statistics of extremes, :62 Statistics::62M Inference from stochastic processes [Classificació AMS], Mathematics - Statistics Theory, Statistics Theory (math.ST), :62 Statistics::62E Distribution theory [Classificació AMS], Value at risk, heavy tails, value at risk, Àrees temàtiques de la UPC::Matemàtiques i estadística::Estadística matemàtica, :Matemàtiques i estadística::Estadística matemàtica [Àrees temàtiques de la UPC], Statistics of extremes, heavy tails, high quantile estimation, value at risk, Classificació AMS::62 Statistics::62E Distribution theory, Classificació AMS::62 Statistics::62M Inference from stochastic processes, FOS: Mathematics, 62E20, 62E15, 62M02, Heavy tails, high quantile estimation

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