'Average true exceedance probability' presentation slideshows

Taking Uncertainty Into Account: Bias Issues Arising from Uncertainty in Risk Models

Taking Uncertainty Into Account: Bias Issues Arising from Uncertainty in Risk Models. John A. Major, ASA Guy Carpenter & Company, Inc. Example: Exponential Distribution. N=20 observations T = sample mean; l =1 true mean MLE EP curve: q-exceedance point (PML, VaR) X .01 = 4.605 actual.

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