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342 – Current Research on Students' Attitudes Toward Statistics

Estimation and Evaluating of Right Tail Risk

Sponsor: Business and Economic Statistics Section
Keywords: Right Tail Risk, Probability Distribution, Mixture Distribution, Losses

Min Deng

University of Maryville of St. Louis

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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