Estimation of conditional extreme risk measures from heavy-tailed elliptical random vectors (Q1711567)
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scientific article
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| English | Estimation of conditional extreme risk measures from heavy-tailed elliptical random vectors |
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Estimation of conditional extreme risk measures from heavy-tailed elliptical random vectors (English)
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18 January 2019
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elliptical distribution
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extreme quantiles
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extreme value theory
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Haezendonck-Goovaerts risk measures
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heavy-tailed distributions
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\(L_{p}\)-quantiles
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0.8327397108078003
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0.8185760974884033
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0.8124638199806213
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0.8004209995269775
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0.7782312631607056
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