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What is Kurtosis of continuous probability distribution?

Posted: 30 Jan 2019, 10:32
by Mayank
It is defined as fourth central moment and is a measure of how likely extreme values are to appear!

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Re: What is Kurtosis of continuous probability distribution?

Posted: 30 Jan 2019, 12:24
by shreyanshh
So if the kurtosis is big, we can say that our data set has many outliers.
Am i correct?

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Re: What is Kurtosis of continuous probability distribution?

Posted: 31 Jan 2019, 00:28
by Mayank
shreyanshh wrote:So if the kurtosis is big, we can say that our data set has many outliers.
Am i correct?

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For CM2 or for CT8, it means..

For investors, high kurtosis of the return distribution implies that the investor will experience occasional extreme returns (either positive or negative), more extreme than the usual + or - three standard deviations from the mean that is predicted by the normal distribution of returns. This phenomenon is known as kurtosis risk.

But yes you are right in general sense. kurtosis is a measure that describes the shape of a distribution's tails in relation to its overall shape.

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Re: What is Kurtosis of continuous probability distribution?

Posted: 31 Jan 2019, 08:03
by shreyanshh
Understood. Thanks.

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Re: What is Kurtosis of continuous probability distribution?

Posted: 01 Feb 2019, 01:41
by Mayank
no worries