A Discussion on Mean Excess Plots
Souvik Ghosh, Sidney I Resnick
TL;DR
This paper explores the theoretical foundations and practical applications of mean excess plots, a key tool in risk analysis and extreme value modeling, focusing on their use in validating generalized Pareto models.
Contribution
It provides new insights into the theoretical properties and practical considerations of mean excess plots for extreme value analysis.
Findings
Clarifies the theoretical basis of mean excess plots
Provides guidelines for practical application in model validation
Highlights limitations and strengths in risk assessment
Abstract
A widely used tool in the study of risk, insurance and extreme values is the mean excess plot. One use is for 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.
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Taxonomy
TopicsInsurance and Financial Risk Management · Financial Risk and Volatility Modeling · Hydrology and Drought Analysis