Estimating GEVD Parameters

Several methods have been proposed to estimate the GEVD parameters in Table 7.5 as given in the following  

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By repeating steps 1,2, and 3 several hundred simulation runs can be made to determine the total impact (financial loss) due to VaR type risk. From these values, one can compute the mean, variance and the entire distribution of the disruption risk function. Using Example 7.1, we shall illustrate the estimation of GEVD parameters for the impact function, the occurrence function and the aggregate disruption risk function by the simulation approach. 

To estimate the parameters of the generalized extreme value distribution (GEVD), we use the PWM method, described in detail in Hosking et al. (1985). The PWM method requires moment estimates, which can be... 

The estimates of moments 0,1, and 2 denoted by bf by and b2, and an intermediary parameter c, are necessary to estimate the GEVD parameters from empirical data. 

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