Beyond tail median and conditional tail expectation: Extreme risk estimation using tail <i>L</i><sup><i>p</i></sup>‐optimization (Q5136967)

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scientific article; zbMATH DE number 7279467
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Beyond tail median and conditional tail expectation: Extreme risk estimation using tail <i>L</i><sup><i>p</i></sup>‐optimization
scientific article; zbMATH DE number 7279467

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    Beyond tail median and conditional tail expectation: Extreme risk estimation using tail <i>L</i><sup><i>p</i></sup>‐optimization (English)
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    30 November 2020
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    \(L^p\)-optimization
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    asymptotic normality
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    conditional tail expectation
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    extreme value statistics
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    heavy-tailed distribution
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    median shortfall
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