ISBN:
9783030542511
Content:
The Pareto model is very popular in risk management, since simple analytical formulas can be derived for financial downside risk measures (value-at-risk, expected shortfall) or reinsurance premiums and related quantities (large claim index, return period). Nevertheless, in practice, distributions are (strictly) Pareto only in the tails, above (possible very) large threshold. Therefore, it could be interesting to take into account second-order behavior to provide a better fit. In this article, we present how to go from a strict Pareto model to Pareto-type distributions. We discuss inference, derive formulas for various measures and indices, and finally provide applications on insurance losses and financial risks.
In:
Recent econometric techniques for macroeconomic and financial data, Cham, Switzerland : Springer, 2021, (2021), Seite 355-387, 9783030542511
In:
9783030542542
In:
year:2021
In:
pages:355-387
Language:
English
Keywords:
Aufsatz im Buch
DOI:
10.1007/978-3-030-54252-8_14
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