Table 3 Parameter estimation and KS test results of loss severity distributions
From: Operational risk assessment of third-party payment platforms: a case study of China
Loss part | Distribution | Parameter value | KS test | AD test | |
|---|---|---|---|---|---|
HFLI losses | Lognormal | \(\mu = { - 2}{\text{.31}}\) | \(\sigma = {2}{\text{.23}}\) | 0.07 (0.41) | 1.01 (0.35) |
Gamma | \(\alpha = {0}{\text{.01}}\) | \(\beta = {0}{\text{.55}}\) | 0.07 (0.34) | 1.22 (0.26) | |
Weibull | \(k = {0}{\text{.32}}\) | \(\lambda = {0}{\text{.06}}\) | 0.07 (0.40) | 1.09 (0.31) | |
LFHI losses | GPD | \(\xi = {0}{\text{.35}}\) | \(\sigma = {7}{\text{.88}}\) | 0.09 (0.88) | 0.41(0.84) |