Risk

Calculate tail quantiles of compound distributions

We evaluate the performance of different approaches for estimating quantiles of com- pound distributions, which are widely used for risk quantification in the banking and insurance industries. We ...
Simon Fraser University

Computing Quantiles

PROC STDIZE offers two methods for computing quantiles: the one-pass approach and the order-statistics approach (like that used in the UNIVARIATE procedure). The one-pass approach used in PROC STDIZE ...
Risk

A multiplier approach for nonparametric estimation of the extreme quantiles of compound frequency distributions

Operational risk reserves are still widely estimated using the loss distribution approach. The accuracy of the estimation depends heavily on the accuracy with which the extreme quantiles of the ...
JSTOR Daily

BAYESIAN INFERENCE ON MULTIVARIATE MEDIANS AND QUANTILES

We consider Bayesian inferences on a type of multivariate median and the multivariate quantile functionals of a joint distribution using a Dirichlet process prior. Unlike univariate quantiles, the ...
Harvard Business School

Is it Better to Average Probabilities or Quantiles?

Lichtendahl, Kenneth C., Yael Grushka-Cockayne, and Robert L. Winkler. "Is it Better to Average Probabilities or Quantiles?" Management Science 59, no. 7 (July 2013): 1594–1611.