Analysis of truncated data with application to the operational risk estimation
Result description
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 ofnlosses over a given period, particularly of its right quantiles.
Keywords
The result's identifiers
Result code in IS VaVaI
Result on the web
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DOI - Digital Object Identifier
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Alternative languages
Result language
angličtina
Original language name
Analysis of truncated data with application to the operational risk estimation
Original language description
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 ofnlosses over a given period, particularly of its right quantiles.
Czech name
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Czech description
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Classification
Type
D - Article in proceedings
CEP classification
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OECD FORD branch
10102 - Applied mathematics
Result continuities
Project
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Continuities
I - Institucionalni podpora na dlouhodoby koncepcni rozvoj vyzkumne organizace
Others
Publication year
2017
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů
Data specific for result type
Article name in the collection
Proceedings of the 35th International Conference Mathematical Methods in Economics (MME 2017)
ISBN
978-80-7435-678-0
ISSN
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e-ISSN
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Number of pages
6
Pages from-to
830-835
Publisher name
University of Hradec Králové
Place of publication
Hradec Králové
Event location
Hradec Králové
Event date
Sep 13, 2017
Type of event by nationality
EUR - Evropská akce
UT code for WoS article
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Result type
D - Article in proceedings
OECD FORD
Applied mathematics
Year of implementation
2017