问一道题：NO.PZ2018122701000030

NO.PZ2018122701000030 问题如下 Let X a ranm variable representing the ily loss of your portfolio. The \"peaks over threshol" (POT) approaconsirs a thresholvalue, u, of X anthe stribution of excess losses over this threshol Whiof the following statements about this application of extreme value theory is correct? To apply the POT approach, the stribution of X must ellipticanknown. If X is normally stribute the stribution of excess losses requires the estimation of only one parameter, β, whiis a positive scale parameter. To apply the POT approach, one must choose a threshol u, whiis high enough ththe number of observations in excess of u is zero. the threshol u, increases, the stribution of excess losses over u converges to a generalizePareto stribution. is correct. 考点: Extreme Value 解析: The stribution of excess losses over u converges to a generalizePareto stribution the thresholvalue u increases. The stribution of X itself cany of the commonly usestribution: normal, lognormal, t, etc., anwill usually be known. The stribution of excess losses requires the estimation of two parameters, a positive scale parameter β ana shape or tail inx parameter ξ. One must choose a thresholu this high enough so ththe theory applies but also low enough so ththere are observations in excess of u. 老师，这个应该是什么要求呢，忘了==

NO.PZ2018122701000030 If X is normally stribute the stribution of excess losses requires the estimation of only one parameter, β, whiis a positive scale parameter. To apply the POT approach, one must choose a threshol u, whiis high enough ththe number of observations in excess of u is zero. the threshol u, increases, the stribution of excess losses over u converges to a generalizePareto stribution. is correct. 考点: Extreme Value 解析: The stribution of excess losses over u converges to a generalizePareto stribution the thresholvalue u increases. The stribution of X itself cany of the commonly usestribution: normal, lognormal, t, etc., anwill usually known. The stribution of excess losses requires the estimation of two parameters, a positive scale parameter β ana shape or tail inx parameter ξ. One must choose a thresholu this high enough so ththe theory applies but also low enough so ththere are observations in excess of u. 不太理解B的意思。 应该有两个参数 一个是tail factor 一个是positive sclae

NO.PZ2018122701000030

NO.PZ2018122701000030

If X is normally stribute the stribution of excess losses requires the estimation of only one parameter, β, whiis a positive scale parameter. To apply the POT approach, one must choose a threshol u, whiis high enough ththe number of observations in excess of u is zero. the threshol u, increases, the stribution of excess losses over u converges to a generalizePareto stribution. is correct. 考点: Extreme Value 解析: The stribution of excess losses over u converges to a generalizePareto stribution the thresholvalue u increases. The stribution of X itself cany of the commonly usestribution: normal, lognormal, t, etc., anwill usually known. The stribution of excess losses requires the estimation of two parameters, a positive scale parameter β ana shape or tail inx parameter ξ. One must choose a thresholu this high enough so ththe theory applies but also low enough so ththere are observations in excess of u. n增大，POT不是更趋近于广义极值理论吗？POT本身就是广义帕累托，怎么能说趋近呢？