A discussion on mean excess plots

Souvik Ghosh and Sidney Resnick

Stochastic Processes and their Applications, 2010, vol. 120, issue 8, 1492-1517

Abstract: The mean excess plot is a tool widely used in the study of risk, insurance and extreme values. One use is in validating a generalized Pareto model for the excess distribution. This paper investigates some theoretical and practical aspects of the use of the mean excess plot.

Keywords: Mean; excess; plots; Peaks; over; threshold; Extreme; values; Generalized; Pareto (search for similar items in EconPapers)
Date: 2010
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Citations: View citations in EconPapers (26)

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