| 巨灾风险厚尾分布：POT模型及其应用 |
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| 引用本文： | 卓志,王伟哲.巨灾风险厚尾分布：POT模型及其应用[J].保险研究,2011(8):13-19. |
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| 作者姓名： | 卓志 王伟哲 |
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| 作者单位： | 西南财经大学,四川成都,611130;西南财经大学,四川成都,611130 |
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| 基金项目： | 教育部哲学社会科学研究重大课题攻关项目“巨灾风险管理制度创新研究”(编号:09JZD0028)的阶段性研究成果 |
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| 摘 要： | 针对Gamma，LognormM和Weibull等传统厚尾分布拟合巨灾风险的不足，本文一方面从理论上分析探讨了POT模型及其拟合巨灾厚尾风险的相对优势，另一方面应用POT模型和GPD分布，对我国1952年～2008年间地震直接经济损失数据进行拟合，发现了POT模型拟合巨灾风险厚尾部分的效果比Gamma、LognormM...
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| 关 键 词： | 巨灾风险 厚尾分布 POT模型 GPD |
Heavy-tailed Distribution of Catastrophe Risk : POT Model and Its Application |
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| Zhuo Zhi,Wang Wei-zhe.Heavy-tailed Distribution of Catastrophe Risk : POT Model and Its Application[J].Insurance Studies,2011(8):13-19. |
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| Authors: | Zhuo Zhi Wang Wei-zhe |
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| Institution: | Zhuo Zhi,Wang Wei-zhe |
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| Abstract: | The paper presented the shortcomings of some traditional heavy-tailed distribution theories such as Gamma,Lognormal and Weibull in fitting catastrophe risks.It discussed the POT model and its comparative advantage to fit catastrophe risk theoretically,and then applied the POT model and General Pareto Distribution to fit the earthquake direct economic losses in China from year 1952 to 2008.It came to the conclusion that the POT model was better than Gamma,Lognormal and Weibull in fitting catastrophe risks,especially its fat tail section.At last,it explored some applications of POT model on VaR and excess of loss reinsurance. |
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| Keywords: | catastrophe risk heavy-tailed distribution POT model GPD |
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