相关论文: Modelling extreme claims via composite models and …

The classical multivariate extreme-value theory concerns the modeling of extremes in a multivariate random sample, suggesting the use of max-stable distributions. In this work, the classical theory is extended to the case where aggregated…

Predicting the occurrence of tail events is of great importance in financial risk management. By employing the method of peak-over-threshold (POT) to identify the financial extremes, we perform a recurrence interval analysis (RIA) on these…

In this paper we develop a novel inferential approach based on geometric records for estimating the tail index of heavy-tailed distributions. We construct a maximum likelihood estimator for the Pareto model and establish its strong…

The dominant approaches to text representation in natural language rely on learning embeddings on massive corpora which have convenient properties such as compositionality and distance preservation. In this paper, we develop a novel method…

Survival analysis is a widely-used technique for analyzing time-to-event data in the presence of censoring. In recent years, numerous survival analysis methods have emerged which scale to large datasets and relax traditional assumptions…

Parametric insurance has emerged as a practical way to cover risks that may be difficult to assess. By introducing a parameter that triggers compensation and allows the insurer to determine a payment without estimating the actual loss,…

Predicting extreme events is important in many applications in risk analysis. The extreme-value theory suggests modelling extremes by max-stable distributions. The Bayesian approach provides a natural framework for statistical prediction.…

A novel statistical method is proposed and investigated for estimating a heavy tailed density under mild smoothness assumptions. Statistical analyses of heavy-tailed distributions are susceptible to the problem of sparse information in the…

One of the commonly used approaches to modeling extremes is the peaks-over-threshold (POT) method. The POT method models exceedances over a threshold that is sufficiently high or low so that the exceedance has approximately a generalized…

In extreme value statistics, the peaks-over-threshold method is widely used. The method is based on the generalized Pareto distribution characterizing probabilities of exceedances over high thresholds in $\mathbb {R}^d$. We present a…

In this paper, non-life insurance claims were modelled under the three parameter discrete generalised Pareto distribution. Data from the National Insurance Commission of Ghana on reported and settled claims were considered for the period…

Most extreme events in real life can be faithfully modeled as random realizations from a Generalized Pareto distribution, which depends on two parameters: the scale and the shape. In many actual situations, one is mostly concerned with the…

Different questions related with analysis of extreme values and outliers arise frequently in practice. To exclude extremal observations and outliers is not a good decision because they contain important information about the observed…

For measuring tail risk with scarce extreme events, extreme value analysis is often invoked as the statistical tool to extrapolate to the tail of a distribution. The presence of large datasets benefits tail risk analysis by providing more…

This paper presents a novel semiparametric method to study the effects of extreme events on binary outcomes and subsequently forecast future outcomes. Our approach, based on Bayes' theorem and regularly varying (RV) functions, facilitates a…

When modeling a vector of risk variables, extreme scenarios are often of special interest. The peaks-over-thresholds method hinges on the notion that, asymptotically, the excesses over a vector of high thresholds follow a multivariate…

This paper explores the applications of the 20/60/20 rule-a heuristic method that segments data into top-performing, average-performing, and underperforming groups-in mathematical finance. We review the statistical foundations of this rule…

Recently some papers, such as Aban, Meerschaert and Panorska (2006), Nuyts (2010) and Clark (2013), have drawn attention to possible truncation in Pareto tail modelling. Sometimes natural upper bounds exist that truncate the probability…

In this paper we are concerned with the analysis of heavy-tailed data when a portion of the extreme values is unavailable. This research was motivated by an analysis of the degree distributions in a large social network. The degree…

We propose a new class of claim severity distributions with six parameters, that has the standard two-parameter distributions, the log-normal, the log-Gamma, the Weibull, the Gamma and the Pareto, as special cases. This distribution is much…