Autor/es de la URV: Padilla, Maria del Castillo, Joan

Palabras clave: Statistics of extremes, heavy tails, high quantile estimation, value at risk

Resumen: 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 euro/dollar daily exchange rates and to Danish fire insurance losses.

Año de publicación de la revista: 2016

Tipo de publicación: info:eu-repo/semantics/publishedVersion info:eu-repo/semantics/article