ESTIMATION OF RISK MEASURES FROM HEAVY TAILED DISTRIBUTIONS (Q5069508): Difference between revisions

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+Coherent Measures of Risk
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+Tail index estimation and an exponential regression model
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+On exponential representations of log-spacings of extreme order statistics
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+Improved reduced-bias tail index and quantile estimators
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+Estimating the distortion parameter of the proportional-hazard premium for heavy-tailed losses
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+Bias-corrected estimation in distortion risk premiums for heavy-tailed losses
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+Estimating conditional tail expectation with actuarial applications in view
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+Applying the Proportional Hazard Premium Calculation Principle
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+Kernel estimates of the tail index of a distribution
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+Weighted empirical and quantile processes
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+Reduced-bias estimator of the Proportional Hazard Premium for heavy-tailed distributions
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+Reduced-Bias Estimator of the Conditional Tail Expectation of Heavy-Tailed Distributions
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+Estimating a tail exponent by modelling departure from a Pareto distribution
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+``Asymptotically unbiased'' estimators of the tail index based on external estimation of the second order parameter
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+A Sturdy Reduced-Bias Extreme Quantile (<i>VaR</i>) Estimator
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+A simple general approach to inference about the tail of a distribution
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+Empirical Estimation of Risk Measures and Related Quantities
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+Testing for the order of risk measures: an application of \(L\)-statistics in actuarial science
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+Risk measures, distortion parameters, and their empirical estimation
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+Statistical estimate of the proportional hazard premium of loss
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+Empirical estimation of the proportional hazard premium for heavy-tailed claim amounts
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+Estimating the conditional tail expectation in the case of heavy-tailed losses
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+Estimating the mean of a heavy tailed distribution
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+Estimation of Parameters and Larger Quantiles Based on the k Largest Observations
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+A synthesis of risk measures for capital adequacy
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+Publication:5069508