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变点理论在极值分布阈值选取中的应用 被引量：4

A New Method to Choose the Threshold in Extreme Value Distribution:Applying the Change Point Theory
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摘要 极值理论已经被广泛应用于解决金融、保险等领域的厚尾分布问题,而阈值的选取一直是极值理论实际应用的难点和重点。在已有研究成果基础上,本文尝试引入变点理论进行定量化的阈值选取。分析了变点理论进行阈值选取的基本原理和方法,利用Burr分布产生的随机样本进行模拟,得到了较好的效果,并在此基础上运用S&P500和Danish火灾保险数据进行了实证分析。 Extreme Value Theory has been widely used in the solutions of the distribution problems in the field of finance and insurance. Selection of threshold,however,has long been treated as the key point and a difficult task in the application. This paper attempts to use the change point theory to select the threshold quantitatively based on the previous work existing in the literatures. The fundamental and the basic method used in the selection of threshold value using the change point theory has been analyzed and numerical simulation has been performed by random sample generated from Burr distribution method, and a good result has been obtained. Moreover, the empirical analysis is also carried out by using the MYMSP500 and Danish fire insurance data.
作者 宋加山 李勇 孙浩瑛 方兆本
机构地区 中国科学技术大学管理学院
出处 《系统工程》 CSCD 北大核心 2007年第11期97-101,共5页 Systems Engineering
基金 中国科学院知识创新工程重要方向项目(KJCX3-SYW-S02) 中国科学技术大学创新基金资助项目(KD2006062)
关键词 极值分布 变点 阈值 随机模拟 EVT Distribution Change Point Threshold Random Model
分类号 O212 [理学—概率论与数理统计]
  • 相关文献

参考文献13

  • 1Beirlant J,Dierckx G,Goegebeur Y,Matthys G.Tail index estimation and an exponential regression model[M].Springer,1999:177-200.
  • 2陈学华,杨辉耀,黄向阳.POT模型在商业银行操作风险度量中的应用[J].管理科学,2003,16(1):49-52. 被引量：39
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二级参考文献27

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共引文献132

同被引文献69

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二级引证文献24

系统工程
2007年 第11期

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