Original title: Analysis of truncated data with application to the operational risk estimation
Authors: Volf, Petr
Document type: Papers
Conference/Event: 35th International Conference Mathematical Methods in Economics, Hradec Králové (CZ), 20170913
Year: 2017
Language: eng
Abstract: Analysis of operational risk often faces problems arising from the structure of available data, namely of left truncation and occurrence of heavy-tailed loss values. We deal with model given by lognormal dostribution contaminated by the Pareto one and to use of the Cramér-von Mises, Anderson-Darling, and Kolmogorov-Smirnov minimum distance estimators. Analysis is based on MC studies. The main objective is to propose a method of statistical analysis and modeling for the distribution of sum of\nlosses over a given period, particularly of its right quantiles.
Keywords: operational risk; statistical analysis; truncated data
Host item entry: Proceedings of the 35th International Conference Mathematical Methods in Economics (MME 2017), ISBN 978-80-7435-678-0

Institution: Institute of Information Theory and Automation AS ČR (web)
Document availability information: Fulltext is available at external website.
External URL: http://library.utia.cas.cz/separaty/2017/SI/volf-0477967.pdf
Original record: http://hdl.handle.net/11104/0274238

Permalink: http://www.nusl.cz/ntk/nusl-364409


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