Exact determination and sensitivity analysis of a risk measure of extreme events

Exact determination and sensitivity analysis of a risk measure of extreme events

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Article ID: iaor19931106
Country: Netherlands
Volume: 18
Start Page Number: 265
End Page Number: 282
Publication Date: Dec 1992
Journal: Information and Decision Technologies
Authors: , ,
Keywords: risk, statistics: general
Abstract:

A conditional expectation can be used to measure the risk of extreme events. Analytical expressions for the conditional expectation of extreme events are derived in this paper for three well-known distributions. This result facilitates the sensitivity analysis of the conditional expectation of extreme events with respect to the selected partitioning point and to the parameters in the chosen distribution.

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