Chapter 13. Fitting extreme value models

  1. Harry H. Panjer

Published Online: 6 MAR 2006

DOI: 10.1002/0470051310.ch13

Operational Risk: Modeling Analytics

Operational Risk: Modeling Analytics

How to Cite

Panjer, H. H. (2006) Fitting extreme value models, in Operational Risk: Modeling Analytics, John Wiley & Sons, Inc., Hoboken, NJ, USA. doi: 10.1002/0470051310.ch13

Publication History

  1. Published Online: 6 MAR 2006
  2. Published Print: 25 AUG 2006

ISBN Information

Print ISBN: 9780471760894

Online ISBN: 9780470051313

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Keywords:

  • Pareto shape parameter;
  • generalized extreme value distribution (GEVD);
  • Hill estimator;
  • Gumbel distribution;
  • Fisher information matrix

Summary

This chapter contains sections titled:

  • Introduction

  • Parameter Estimation

  • Model Selection