| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 1155806 | Stochastic Processes and their Applications | 2010 | 26 Pages |
Abstract
The mean excess plot is a tool widely used in the study of risk, insurance and extreme values. One use is in validating a generalized Pareto model for the excess distribution. This paper investigates some theoretical and practical aspects of the use of the mean excess plot.
Related Topics
Physical Sciences and Engineering
Mathematics
Mathematics (General)
Authors
Souvik Ghosh, Sidney Resnick,