EVT-based estimation of risk capital and convergence of high quantiles (Q3535649): Difference between revisions

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+High risk scenarios and extremes. A geometric approach
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+Statistics of Extremes
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+Q4726487
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+Kernel density estimation for heavy-tailed distributions using the champernowne transformation
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+Convergence rates for the ultimate and pentultimate approximations in extreme-value theory
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+Q3486670
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+The Quantitative Modeling of Operational Risk: Between G-and-H and EVT
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+Approximation by penultimate extreme value distributions
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+A Sturdy Reduced-Bias Extreme Quantile (<i>VaR</i>) Estimator
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+Some properties of the tukey g and h family of distributions
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+Heavy-Tail Phenomena
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+Estimating tails of probability distributions
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+Penultimate approximation for the distribution of the excesses
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