A Cluster Truncated Pareto Distribution and Its Applications

Table 1

Five estimation methods for hurricane example.

Method	𝛼	𝜇	Median	5% VaR	1% VaR
Pareto(Hill)	0.8126	∞	8.68 billion	147.68 billion	1070.30 billion
TPD(Aban)	0.6206	21.10 billion	9.73 billion	85.15 billion	136.17 billion
TPD(moment)	0.6476	20.48 billion	9.47 billion	82.55 billion	134.90 billion
Kernel	—	19.88 billion	12.88 billion	80.58 billion	156.14 billion
Cluster	𝛼1 = 0.6476	27.65 billion	11.19 billion	77.24 billion	132.41 billion
	𝛼2 = 5.6498
	𝛼3 = 0.8416