Risk: Comparison of tail performance of the Champernowne transformed kernel density estimator, the generalized Pareto distribution and the g-and-h distribution
Comparison of tail performance of the Champernowne transformed kernel density estimator, the generalized Pareto distribution and the g-and-h distribution
Risk: Fitting the generalized Pareto distribution to commercial fire loss severity: evidence from Taiwan
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 ...
Fitting the generalized Pareto distribution to commercial fire loss severity: evidence from Taiwan
Risk: Alternative approaches to generalized Pareto distribution shape parameter estimation through expert opinions
We introduce several possibilities for the estimation of the shape parameter of the generalized Pareto distribution through expert opinions, in an ideal context where expert opinions come from self ...
Alternative approaches to generalized Pareto distribution shape parameter estimation through expert opinions
Several papers have recommended the Champernowne distribution to describe operational risk losses. This paper compares the tail performance of the Champernowne transformed kernel density estimator, ...
Pareto Securities is an independent full service securities firm with a leading position in the Nordic capital markets and a strong international presence within the energy sectors. Pareto Securities is headquartered in Oslo, Norway, with more than 400 employees located in ten countries.
Pareto er en ledende og uavhengig aktør i det nordiske markedet for finansielle tjenester. Selskapet har kontorer i Oslo, Stavanger, Trondheim, Kristiansand, Stockholm, Helsingfors, København, London, Frankfurt, Zürich, Singapore, Perth, New York og Houston. Pareto ble stiftet på tampen av 1985 og har utviklet seg til å bli et konsern med et omfattende produktspekter. Gruppen har 987 ...