A Discussion on Mean Excess Plots

نویسندگان

  • SOUVIK GHOSH
  • SIDNEY RESNICK
چکیده

A widely used tool in the study of risk, insurance and extreme values is the mean excess plot. One use is for validating a Generalized Pareto model for the excess distribution. This paper investigates some theoretical and practical aspects of the use of the mean excess plot.

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تاریخ انتشار 2009