【摘要】 极值理论已经被广泛应用于解决金融、保险等领域的厚尾分布问题,而阈值的选取一直是极值理论实际应用的难点和重点。在已有研究成果基础上,本文尝试引入变点理论进行定量化的阈值选取。分析了变点理论进行阈值选取的基本原理和方法,利用Burr分布产生的随机样本进行模拟,得到了较好的效果,并在此基础上运用S&P500和Danish火灾保险数据进行了实证分析。更多还原

【Abstract】 Extreme Value Theory has been widely used in the solutions of the distribution problems in the field of finance and insurance.Selection of threshold,however,has long been treated as the key point and a difficult task in the application.This paper attempts to use the change point theory to select the threshold quantitatively based on the previous work existing in the literatures.The fundamental and the basic method used in the selection of threshold value using the change point theory has been analyzed and numerical simulation has been performed by random sample generated from Burr distribution method,and a good result has been obtained.Moreover,the empirical analysis is also carried out by using the MYMSP500 and Danish fire insurance data.更多还原