Climate-related disasters in East Asia have been recently increasing due to enhanced climate variability and climate change. Moreover, the frequency and intensity of typhoons and associated disasters ...
Sankhyā: The Indian Journal of Statistics, Series B (1960-2002), Vol. 56, No. 2 (Aug., 1994), pp. 147-164 (18 pages) In this paper we consider a class of univariate discrete distributions, the Abel ...
This is a brief supplement to Böcker and Klüppelberg (2005), “Operational VAR: a closed-form approximation,” where a closed-form approximation for operational VAR (OpVAR) was derived. Here, we apply ...
This paper focuses on modeling and estimating tail parameters of loss distributions from Taiwanese commercial fire loss severity. Using extreme value theory, we employ the generalized Pareto ...
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