HomeTechniques and Tips@RISK DistributionsGeneralized Pareto Distribution

3.23. Generalized Pareto Distribution

Question:
Does @RISK handle a generalized Pareto distribution?

Response:
Yes, with the restriction that the shape parameter must be positive.

The generalized Pareto distribution takes three parameters: location μ (mu), scale σ (sigma), and shape k.  The RiskPareto2 distribution takes three parameters: scale b, shape q, and optionally a location shift in the RiskShift( ) property function.

Conversion between the parameters:

Conversion between the functions:

last edited: 2012-06-15

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