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Statements

Subject Item
n2:RIV%2F67985807%3A_____%2F10%3A00342150%21RIV11-AV0-67985807
rdf:type
skos:Concept n17:Vysledek
dcterms:description
Assessment of heavy tailed data and its compound sums has many applications in insurance, auditing and operational risk capital assessment among others. In this paper, we compare the classical estimators (maximum likelihood, QQ and moment estimators) with the recently introduced robust estimators of “generalized median, “trimmed mean and estimators based on t-score moments. We derive the exact distribution of the likelihood ratio tests of homogeneity and simple hypothesis on the tail index of a two-parameter Pareto model. Such exact tests support the assessment of the performance of estimators. In particular, we discuss some problems that one can encounter when misemploying the log-normal assumption based methods supported by the Basel II framework. Real data and simulated examples illustrate the methods. Assessment of heavy tailed data and its compound sums has many applications in insurance, auditing and operational risk capital assessment among others. In this paper, we compare the classical estimators (maximum likelihood, QQ and moment estimators) with the recently introduced robust estimators of “generalized median, “trimmed mean and estimators based on t-score moments. We derive the exact distribution of the likelihood ratio tests of homogeneity and simple hypothesis on the tail index of a two-parameter Pareto model. Such exact tests support the assessment of the performance of estimators. In particular, we discuss some problems that one can encounter when misemploying the log-normal assumption based methods supported by the Basel II framework. Real data and simulated examples illustrate the methods.
dcterms:title
On the Favorable Estimation for Fitting Heavy Tailed Data On the Favorable Estimation for Fitting Heavy Tailed Data
skos:prefLabel
On the Favorable Estimation for Fitting Heavy Tailed Data On the Favorable Estimation for Fitting Heavy Tailed Data
skos:notation
RIV/67985807:_____/10:00342150!RIV11-AV0-67985807
n3:aktivita
n14:Z
n3:aktivity
Z(AV0Z10300504)
n3:cisloPeriodika
3
n3:dodaniDat
n9:2011
n3:domaciTvurceVysledku
n11:4909313
n3:druhVysledku
n6:J
n3:duvernostUdaju
n12:S
n3:entitaPredkladatele
n15:predkladatel
n3:idSjednocenehoVysledku
276863
n3:idVysledku
RIV/67985807:_____/10:00342150
n3:jazykVysledku
n5:eng
n3:klicovaSlova
heavy-tailed distribution; exact likelihood ratio test; T-score moment estimator; insurance; Basel II
n3:klicoveSlovo
n4:T-score%20moment%20estimator n4:exact%20likelihood%20ratio%20test n4:Basel%20II n4:insurance n4:heavy-tailed%20distribution
n3:kodStatuVydavatele
DE - Spolková republika Německo
n3:kontrolniKodProRIV
[C9E3A1CC9217]
n3:nazevZdroje
Computational Statistics
n3:obor
n16:BB
n3:pocetDomacichTvurcuVysledku
1
n3:pocetTvurcuVysledku
4
n3:rokUplatneniVysledku
n9:2010
n3:svazekPeriodika
25
n3:tvurceVysledku
Waldl, H. Potocký, R. Stehlík, M. Fabián, Zdeněk
n3:wos
000280074100008
n3:zamer
n10:AV0Z10300504
s:issn
0943-4062
s:numberOfPages
19