NO.PZ2018122701000028
问题如下：
According to extreme value theory (EVT), when examining distributions of losses exceeding a threshold value, which of the following is correct?
选项：
A. To apply EVT, the underlying loss
distribution must be either normal or lognormal.
B. The threshold value is typically chosen near
the estimated mean of the underlying loss distribution.
C. The number of exceedances decreases as the
threshold value decreases, which causes the reliability of the parameter
estimates to increase.
D. As the threshold value is increased, the
distribution of exceedances converges to a generalized Pareto distribution.
解释：
D is correct.
考点Extreme Value
解析A key foundation of EVT is than as the threshold value is increased, the distribution of loss exceedances converges to a generalized Pareto distribution. Assuming the threshold is high enough, excess losses can be modeled using the Generalized Pareto distribution.
To apply EVT, the underlying loss distribution can be any of the commonly used distributions: normal, lognormal, t, etc., and will usually be unknown.
Choosing the threshold value near the estimated mean of the underlying loss distribution is arbitrary and this method is not typically employed.
As the threshold value is decreased, the number of exceedances increases.
请问B为什么不对呀？