Essays about: "Alexander Engberg"

Found 1 essay containing the words Alexander Engberg.

  1. 1. An empirical comparison of extreme value modelling procedures for the estimation of high quantiles

    University essay from Uppsala universitet/Statistiska institutionen

    Author : Alexander Engberg; [2016]
    Keywords : extreme value analysis; peaks over threshold; generalized Pareto distribution; mixture models; folding procedure;

    Abstract : The peaks over threshold (POT) method provides an attractive framework for estimating the risk of extreme events such as severe storms or large insurance claims. However, the conventional POT procedure, where the threshold excesses are modelled by a generalized Pareto distribution, suffers from small samples and subjective threshold selection. READ MORE