Tursunalieva, Ainura; Silvapulle, Param - In: Applied Economics 46 (2014) 30, pp. 3659-3672
In this article, we propose improvements to the peak-over-threshold (POT) method and apply this improved method for modelling US business operational losses and estimating operational risks (ORs). In the widely used traditional POT method, the generalized Pareto distribution (GPD) is fitted to...