Beyond tail median and conditional tail expectation: extreme risk estimation using tail \(L^p\)-optimization (Q5136967)
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scientific article; zbMATH DE number 7279467
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| English | Beyond tail median and conditional tail expectation: extreme risk estimation using tail \(L^p\)-optimization |
scientific article; zbMATH DE number 7279467 |
Statements
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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0.8503312468528748
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0.8185096383094788
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0.8156861066818237
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0.8102334141731262
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0.810165524482727
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