Abstract Details
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Activity Number:
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689
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Type:
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Contributed
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Date/Time:
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Thursday, August 8, 2013 : 10:30 AM to 12:20 PM
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Sponsor:
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Business and Economic Statistics Section
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| Abstract - #307956 |
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Title:
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Estimation and Evaluating of Right Tail Risk
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Author(s):
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Min Deng*+
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Companies:
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Univ of Maryville of St Louis
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Keywords:
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Right Tail Risk ;
Probability Distribution ;
Mixture Distribution ;
Losses
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Abstract:
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Right tail risk is very important in risk management theory, since it represent the small probability and severity losses event. There are many researches on this topic. This paper focuses on how to estimate and evaluate the right tail risk. The different distributions will be considered. Some numerical examples to illustrate the results will be given.
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Authors who are presenting talks have a * after their name.
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