The extreme value theory is used by many authors to model exceedances in several fields such as hydrology, insurance, finance and environmental science, see Furlan (2010), Coles and Sparks (2006), Moscadelli (2004). Since Balkema-DeHaan (1974) and Pickands (1975), it is well known that the conditional distribution of any random variable over a high threshold has approximately a generalized Pareto distribution (GPD). However, the theory shows some surprises in practical applications. The goal is to find distributions so close to the Pareto distribution as determined by the data, but with greater flexibility in some sense. A new statistical approach to the issue is provided for non-light tails.
Models for tails
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Nom de l'orateur
Isabel Serra
Etablissement de l'orateur
CRM, Université autonome de Barcelone
Date et heure de l'exposé
Lieu de l'exposé
salle des séminaires