When is tail mean estimation more efficient than tail median? Answers and implications for quantitative risk management (Q1640042)
From MaRDI portal
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | When is tail mean estimation more efficient than tail median? Answers and implications for quantitative risk management |
scientific article |
Statements
When is tail mean estimation more efficient than tail median? Answers and implications for quantitative risk management (English)
0 references
13 June 2018
0 references
value-at-risk
0 references
expected shortfall
0 references
generalized quantile function
0 references
exponential power distribution
0 references
extreme value theory
0 references
asymptotic relative efficiency
0 references
rate of convergence
0 references
