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Conference Paper (Czech conference)

Analysis of truncated data with application to the operational risk estimation

Volf Petr

: Proceedings of the 35th International Conference Mathematical Methods in Economics (MME 2017), p. 830-835

: 35th International Conference Mathematical Methods in Economics, (Hradec Králové, CZ, 20170913)

: operational risk, statistical analysis, truncated data

: http://library.utia.cas.cz/separaty/2017/SI/volf-0477967.pdf

(eng): Analysis of operational risk often faces problems arising from the structure of available data, namely of left truncation and occurrence of heavy-tailed loss values. We deal with model given by lognormal dostribution contaminated by the Pareto one and to use of the Cramér-von Mises, Anderson-Darling, and Kolmogorov-Smirnov minimum distance estimators. Analysis is based on MC studies. The main objective is to propose a method of statistical analysis and modeling for the distribution of sum of\nlosses over a given period, particularly of its right quantiles.

: BB

: 10102

07.01.2019 - 08:39