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Tail fitting, quantile interpolation [24]

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Bullet points include: Why is tail behaviour important? Drives capital, perceptions and regulation, and is typically non-normal. Traditional Extreme Value Theory (EVT) and its strengths and weaknesses. Conceptually appealing, but overemphasises robustness of extrapolation into the tail of a distribution (relies on applicability of generalised Pareto distribution). Refinements allowing fitting of any distribution to tail data. No need to use generalised Pareto, if we think another distribution might be better, but this doesn’t solve inherently problematic challenge of extrapolation. Other uses of such techniques. Refinements can also be used to process expert judgement or for interpolation purposes in simulation exercises

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