|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.