bibtype	K - Conference Paper (Czech conference)
ARLID	0477967
utime	20240103214512.9
mtime	20170916235959.9
WOS	000427151400142
title (primary) (eng)	Analysis of truncated data with application to the operational risk estimation
specification	page_count 6 s. media_type C
serial	ARLID cav_un_epca*0477966 ISBN 978-80-7435-678-0 title Proceedings of the 35th International Conference Mathematical Methods in Economics (MME 2017) page_num 830-835 publisher place Hradec Králové name University of Hradec Králové year 2017
keyword	operational risk
keyword	statistical analysis
keyword	truncated data
author (primary)	ARLID cav_un_auth*0101227 full_dept (cz) Stochastická informatika full_dept (eng) Department of Stochastic Informatics department (cz) SI department (eng) SI full_dept Department of Stochastic Informatics share 100 name1 Volf name2 Petr institution UTIA-B fullinstit Ústav teorie informace a automatizace AV ČR, v. v. i.
source	url http://library.utia.cas.cz/separaty/2017/SI/volf-0477967.pdf
cas_special	abstract (eng) 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\nlosses over a given period, particularly of its right quantiles. action ARLID cav_un_auth*0349664 name 35th International Conference Mathematical Methods in Economics dates 20170913 mrcbC20-s 20170915 place Hradec Králové country CZ RIV BB FORD0 10000 FORD1 10100 FORD2 10102 reportyear 2018 num_of_auth 1 presentation_type PR inst_support RVO:67985556 permalink http://hdl.handle.net/11104/0274238 confidential S mrcbC86 3+4 Proceedings Paper Economics|Operations Research Management Science|Mathematics Interdisciplinary Applications|Social Sciences Mathematical Methods mrcbC86 3+4 Proceedings Paper Economics|Operations Research Management Science|Mathematics Interdisciplinary Applications|Social Sciences Mathematical Methods mrcbC86 3+4 Proceedings Paper Economics|Operations Research Management Science|Mathematics Interdisciplinary Applications|Social Sciences Mathematical Methods arlyear 2017 mrcbU34 000427151400142 WOS mrcbU63 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