| POT模型在巨灾损失预测中的应用——基于MCMC方法的估计 |
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| 引用本文： | 解强.POT模型在巨灾损失预测中的应用——基于MCMC方法的估计[J].统计与信息论坛,2010,25(2):84-87. |
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| 作者姓名： | 解强 |
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| 作者单位： | 南开大学,经济学院,天津,300071 |
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| 摘 要： | 极值统计学主要研究随机事件极端情况的统计规律性。运用POT模型拟合中国暴雨损失数据，确定损失超出量的分布形式。实证分析表明，借助POT模型对巨灾风险损失分布进行估计是较为合理的，但当数据量较小时，使用基于Gibbs抽样的MCMC方法估计POT模型的参数，可以解决样本数据不足导致的极大似然估计中误差增大的问题。
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| 关 键 词： | 极值理论 超越阈值模型 MCMC方法 巨灾损失 |
The Application of POT Model in Loss Data:Based on MCMC Method |
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| XIE Qiang.The Application of POT Model in Loss Data:Based on MCMC Method[J].Statistics & Information Tribune,2010,25(2):84-87. |
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| Authors: | XIE Qiang |
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| Institution: | XIE Qiang(School of Economics,Nankai University,Tianjin 300071,China) |
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| Abstract: | Extreme statistics is an important branch of the main events on extreme cases of random statistical regularity.We fit the loss data of rainstorm in China by POT model to determine the distribution form of excess loss.The empirical shows,POT Model,which proved to be effective in extreme loss measurement,deals with the loss distribution of catastrophe risk under the Loss Distribution Method framework.A MCMC model with Gibbs sampling is established to estimate the parameters required in POT. |
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| Keywords: | extreme value theory POT model MCMC method catastrophe loss |
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