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- W2033655265 abstract "Risk measurement plays an important role in fields of finance and insurance. In this paper, extreme value theory is used to construct a new risk measurement model. The underlying distribution of finance and insurance data usually belongs to the domain of attraction of extreme value distribution. The type of extreme value distribution depends on the extreme value index. Therefore, the estimation method for the extreme value index is important. The traditional Weiss-Hill estimator of the extreme value index is not shift invariant In this paper, the new Weiss-Hill-Invariant estimator is proposed, and the properties of shift and scale invariants are presented. Finally, the new WHI estimator is applied to study the logarithmic rate of return in the stock market. The tail probabilities and high quantiles are also derived." @default.
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- W2033655265 date "2014-07-01" @default.
- W2033655265 modified "2023-09-25" @default.
- W2033655265 title "Research on risk measurement model based on WHI estimator" @default.
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- W2033655265 doi "https://doi.org/10.1109/icmlc.2014.7009708" @default.
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