Journal of Operational Risk

Risk.net

Alternative approaches to generalized Pareto distribution shape parameter estimation through expert opinions

Claudio Andreatta and Diego Mazza

ABSTRACT

We introduce several possibilities for the estimation of the shape parameter of the generalized Pareto distribution through expert opinions, in an ideal context where expert opinions come from self risk assessment scenarios that present a structure richer than usual. Among such possibilities we formulate a proposal, taking account in an appropriate way of the scale differences between the historical loss experience and the subjective loss forecasts.

Sorry, our subscription options are not loading right now

Please try again later. Get in touch with our customer services team if this issue persists.

New to Risk.net? View our subscription options

You need to sign in to use this feature. If you don’t have a Risk.net account, please register for a trial.

Sign in
You are currently on corporate access.

To use this feature you will need an individual account. If you have one already please sign in.

Sign in.

Alternatively you can request an individual account here