When is tail mean estimation more efficient than tail median? Answers and implications for quantitative risk management (Q1640042)

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When is tail mean estimation more efficient than tail median? Answers and implications for quantitative risk management
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    When is tail mean estimation more efficient than tail median? Answers and implications for quantitative risk management (English)
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    13 June 2018
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    value-at-risk
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    expected shortfall
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    generalized quantile function
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    exponential power distribution
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    extreme value theory
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    asymptotic relative efficiency
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    rate of convergence
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