Estimating the conditional tail expectation in the case of heavy-tailed losses

DOI10.1155/2010/596839zbMath1200.91142OpenAlexW2082820511WikidataQ58652672 ScholiaQ58652672MaRDI QIDQ609705

Ričardas Zitikis, Abdelaziz Rassoul, Abdelhakim Necir

Publication date: 1 December 2010

Published in: Journal of Probability and Statistics (Search for Journal in Brave)

Full work available at URL: https://eudml.org/doc/232635

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) Nonparametric estimation (62G05) Statistics of extreme values; tail inference (62G32)

Related Items (23)

ESTIMATION OF RISK MEASURES FROM HEAVY TAILED DISTRIBUTIONS ⋮ Estimation of the Ruin Probability in Infinite Time for Heavy Right-Tailed Losses ⋮ Semi-parametric estimation of the quintile share ratio index of inequality measure for heavy-tailed income distributions with index in the upper half of the unit interval ⋮ Non-parametric Estimation of Extreme Risk Measures from Conditional Heavy-tailed Distributions ⋮ Zenga's new index of economic inequality, its estimation, and an analysis of incomes in Italy ⋮ Assessing the difference between integrated quantiles and integrated cumulative distribution functions ⋮ The Automated Bias-Corrected and Accelerated Bootstrap Confidence Intervals for Risk Measures ⋮ Contrasting the Gini and Zenga indices of economic inequality ⋮ Estimating the distortion parameter of the proportional-hazard premium for heavy-tailed losses ⋮ Robust estimator of conditional tail expectation of Pareto-type distribution ⋮ Heavy tailed capital incomes: Zenga index, statistical inference, and ECHP data analysis ⋮ Point process-based Monte Carlo estimation ⋮ Kernel-type estimator of the conditional tail expectation for a heavy-tailed distribution ⋮ Estimation of the adjusted standard-deviatile for extreme risks ⋮ The asymptotic distribution of a truncated sample mean for the extremely heavy-tailed distributions ⋮ Estimating the conditional tail expectation of randomly right-censored heavy-tailed data ⋮ Reliable alternative ways to manage the risk of extreme events ⋮ Estimating the distortion parameter of the proportional hazards premium for heavy-tailed losses under Lévy-stable regime ⋮ Robust estimator of the ruin probability in infinite time for heavy-tailed distributions ⋮ Varying confidence levels for CVaR risk measures and minimax limits ⋮ Reduced-bias estimator of the ruin probability in infinite time for heavy-tailed distributions with index in the upper half of the unit interval ⋮ Weighted allocations, their concomitant-based estimators, and asymptotics ⋮ Empirical tail conditional allocation and its consistency under minimal assumptions

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