Journal of Operational Risk
ISSN:
1744-6740 (print)
1755-2710 (online)
Editor-in-chief: Marcelo Cruz
Alternative approaches to generalized Pareto distribution shape parameter estimation through expert opinions
Claudio Andreatta and Diego Mazza
Abstract
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.
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