To accommodate numerous practical scenarios, in this paper we extend statistical inference for smoothed quantile estimators from finite domains to infinite domains. We accomplish the task with the help of a newly designed truncation methodology for discrete loss distributions with infinite...

Over the last decade, researchers, practitioners, and regulators had intense debates about how to treat the data collection threshold in operational risk modeling. For fitting the loss severity distribution, several approaches have been employed: the empirical approach, the “naive” approach,...

Over the last decade, researchers, practitioners, and regulators had intense debates about how to treat the data collection threshold in operational risk modeling. There are several approaches under consideration --- the empirical approach, the "naive'' approach, the shifted approach, and the...