0477967 20240103214512.920170916235959.9 000427151400142 6 s. C cav_un_epca*0477966978-80-7435-678-0830-835Hradec KrálovéUniversity of Hradec Králové2017 operational risk statistical analysis truncated data cav_un_auth*0101227 Stochastická informatika Department of Stochastic Informatics SI SI Department of Stochastic Informatics 100 Volf Petr UTIA-B Ústav teorie informace a automatizace AV ČR, v. v. i. http://library.utia.cas.cz/separaty/2017/SI/volf-0477967.pdf Analysis of operational risk often faces problems arising from the structure of available data, namely of left truncation and occurrence of heavy-tailed loss values. We deal with model given by lognormal dostribution contaminated by the Pareto one and to use of the Cramér-von Mises, Anderson-Darling, and Kolmogorov-Smirnov minimum distance estimators. Analysis is based on MC studies. The main objective is to propose a method of statistical analysis and modeling for the distribution of sum of losses over a given period, particularly of its right quantiles. cav_un_auth*0349664 35th International Conference Mathematical Methods in Economics 20170913 20170915 Hradec Králové CZ BB 10000 10100 10102 2018 1 PR RVO:67985556 http://hdl.handle.net/11104/0274238 S 3+4 Proceedings Paper Economics|Operations Research Management Science|Mathematics Interdisciplinary Applications|Social Sciences Mathematical Methods 3+4 Proceedings Paper Economics|Operations Research Management Science|Mathematics Interdisciplinary Applications|Social Sciences Mathematical Methods 3+4 Proceedings Paper Economics|Operations Research Management Science|Mathematics Interdisciplinary Applications|Social Sciences Mathematical Methods 2017 000427151400142 WOS cav_un_epca*0477966 Proceedings of the 35th International Conference Mathematical Methods in Economics (MME 2017) 978-80-7435-678-0 830 835 Hradec Králové University of Hradec Králové 2017