Risk Management under Extreme Loss

摘要：

This paper empirically analyzes tail behavior of rice loss due to typhoon. One of the issues of risk management is the choice of the distribution of loss data. Using peak-over-threshold approach to extreme value modeling, we fitted generalized Pareto distribution to agriculture natural disaster loss data of Taiwan from 1971 to 2005. By comparing with standard parametric loss modeling based on lognormal and gamma distributions, the appropriateness of the upper tail fitting to loss data and find generalized Pareto distribution outperforms classical parametric fits was evaluated. Finally, we computed tail risk measures and draw some implication of risk management.

关键词： generalized Pareto distribution maximum likelihood estimate value-at-risk expected shortfall T-year return level

作者: Li-Hua Lai Pei-Hsuan Wu

作者单位: Department and Graduate Institute of Risk Management and Insurance, National Kaohsiung First Univers Institute of Management, National Kaohsiung First University of Science and Technology, Taiwan Depar

会议类型: 国际会议

会议名称: 第三届IEEE无线通讯、网络技术暨移动计算国际会议

会议地点: 上海

会议语种:英文

在线出版日期: 2007-09-21（万方平台首次上网日期，不代表论文的发表时间）