Kernel-type estimator of the conditional tail expectation for a heavy-tailed distribution (Q2015636)
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scientific article; zbMATH DE number 6306914
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| English | Kernel-type estimator of the conditional tail expectation for a heavy-tailed distribution |
scientific article; zbMATH DE number 6306914 |
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Kernel-type estimator of the conditional tail expectation for a heavy-tailed distribution (English)
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23 June 2014
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risk measure
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CTE
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heavy tails
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kernel
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Hill estimator
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extreme quantile
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reduced bias
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