The full-tails gamma distribution applied to model extreme values
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References listed on IDEAS
- Degen, Matthias & Embrechts, Paul & Lambrigger, Dominik D., 2007. "The Quantitative Modeling of Operational Risk: Between G-and-H and EVT," ASTIN Bulletin: The Journal of the International Actuarial Association, Cambridge University Press, vol. 37(02), pages 265-291, November.
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- Cristiano Villa, 2017. "Bayesian estimation of the threshold of a generalised pareto distribution for heavy-tailed observations," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 26(1), pages 95-118, March.
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NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2012-11-11 (All new papers)
- NEP-ECM-2012-11-11 (Econometrics)
- NEP-RMG-2012-11-11 (Risk Management)
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