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: | Li Duan, Romei Stphane F., Haimes Yacov |
Keywords: | risk, statistics: general |
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.