Reduced-bias and partially reduced-bias mean-of-order-p value-at-risk estimation: a Monte-Carlo comparison and an application

DOI10.1080/00949655.2020.1746787OpenAlexW3014682565MaRDI QIDQ5036848

M. Ivette Gomes, Fernanda Figueiredo, Frederico Caeiro, Dinis Pestana, Lígia Henriques-Rodrigues

Publication date: 23 February 2022

Published in: Journal of Statistical Computation and Simulation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/00949655.2020.1746787

zbMATH Keywords

bias reductionstatistics of extremesMonte-Carlo simulationheuristic methodssemi-parametric estimationvalue-at-risk estimationheavy right-tails

Mathematics Subject Classification ID

Statistics of extreme values; tail inference (62G32) Statistics (62-XX) Monte Carlo methods (65C05)

Related Items (1)

A refined Weissman estimator for extreme quantiles

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