Modelling extreme values by the residual coefficient of variation

MaRDI QIDQ3179379zbMATH OpenFDO

Authors Joan del Castillo, Maria Padilla

Publication date 21 December 2016

Full work available at URL https://arxiv.org/abs/1510.00179, http://www.idescat.cat/sort/sort402/40.2.4.castillo-padilla.pdf

zbMATH Keywords

euro/dollarheavy tailshigh quantile estimationPareto distributionresidual coefficient of variationstatistics of extremesvalue at risk

Mathematics Subject Classification ID

Exact distribution theory in statistics (62E15) Asymptotic distribution theory in statistics (62E20) Statistics of extreme values; tail inference (62G32) Markov processes: hypothesis testing (62M02) Markov processes: estimation; hidden Markov models (62M05) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70)

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.

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Cited in

(3)

• Threshold modeling of nonstationary extremes
• A modeler's guide to extreme value software
• Regression estimator for the tail index

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