嗶同學(xué)
2018-11-01 13:30請問這道題c選項(xiàng)，為什么基礎(chǔ)班在講的時(shí)候說severity都是thin tail但選項(xiàng)卻說是fat tail，而且weibull分布什么的確實(shí)是thin tail啊
所屬：FRM Part II 視頻位置 相關(guān)試題
來源： 視頻位置 相關(guān)試題
1個(gè)回答
Cindy助教
2018-11-01 17:55
該回答已被題主采納
同學(xué)你好，這兩段話都是原版書上的原話哦，我把它們截下來，你看看The most common and least complex approach to modeling severity is to use a lognormal distribution, although low frequency losses may fit better to other options such as Generalized Gamma, Transformed Beta, Generalized Pareto, or Weibull. Regulators take a keen interest in how well the selected distribution demonstrates “goodness of fit”
Whichever distribution is selected, the probability density function for severity will have a fat tail, that is to say that very large events (beyond three standard deviations of the mean) are more likely to occur than in a normal distribution.
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追問
所以有統(tǒng)一的說法嗎，到底是瘦尾還是肥尾
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追答
同學(xué)你好，是這樣，咱們可以把尾巴分為兩部分來研究，肥尾和瘦尾，分別適用哪些分布就是你筆記上總結(jié)的了，記住這個(gè)就好了
原版書上的描述是基于尾巴是肥尾的前提下，把尾巴拿出來單獨(dú)研究這個(gè)尾巴的分布，得到的就是上面我發(fā)的那段話，比較籠統(tǒng)，你就記你自己的筆記就ok啦
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