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In: Proceedings of Symposia in Applied Mathematics v.35
In: Wiley series in probability and statistics
In: Proceedings of symposia in applied mathematics 35
In: AMS short course lecture notes
In: Proceedings of symposia in applied mathematics 35
In: AMS short course lecture notes
In: AMS short course lecture notes
4.5 Maximum domain of attraction4.6 Generalized Pareto distributions; 4.7 Stability of excesses of the generalized Pareto; 4.8 Limiting distributions of excesses; 4.9 Parameter estimation; 4.9.1 Maximum likelihood estimation from the extreme value distribution; 4.9.2 Maximum likelihood estimation for the generalized Pareto distribution; 4.9.3 Estimating the Pareto shape parameter; 4.9.4 Estimating extreme probabilities; 4.9.5 Mean excess plots; 4.9.6 Further reading; 4.9.7 Exercises; 5 Analytic and related methods for aggregate claim models; 5.1 Introduction; 5.2 Elementary approaches.
In: Wiley series in probability and statistics