A discussion on mean excess plots

By Souvik Ghosh, Sidney I. Resnick. 2009

127 citations recorded by the source corpus.

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.

Subfields: Demography, Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/727a6e20fa6afc894dac066920e1ec258b3c9da7