Residual life time at great age

From MaRDI portal
Publication:1213242

DOI10.1214/aop/1176996548zbMath0295.60014OpenAlexW2019199024WikidataQ29394600 ScholiaQ29394600MaRDI QIDQ1213242

Laurens De Haan, August A. Balkema

Publication date: 1974

Published in: The Annals of Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1214/aop/1176996548




Related Items (only showing first 100 items - show all)

A goodness-of-fit test for heavy tailed distributions with unknown parameters and its application to simulated precipitation extremes in the Euro-Mediterranean regionOn the statistical properties and tail risk of violent conflictsOn maximum likelihood estimation of the extreme value index.A bivariate distribution with Lomax and geometric marginsLikelihood inference for generalized Pareto distributionA semiparametric Bayesian approach for joint-quantile regression with clustered dataBayesian threshold selection for extremal models using measures of surpriseDiversification limit of quantiles under dependence uncertaintyModelling the financial risk associated with U.S. Movie box office earningsExtreme quantiles estimation for actuarial applicationsNew results for the Brown-Proschan model of imperfect repairApproximation rates for multivariate exceedancesBayesian approaches for analyzing earthquake catastrophic riskEstimation of the extreme-value index and generalized quantile plotsAn application of extreme value theory for measuring financial riskCharacterization of discrete distributions using expected valuesOn the domain of attraction of \(\exp (-\exp (-x))\)Free extreme valuesEstimating extreme tail risk measures with generalized Pareto distributionThe joint distribution of the sum and maximum of dependent Pareto risksLAN of extreme order statisticsLarge deviations results for subexponential tails, with applications to insurance riskRepresenting the mean residual life in terms of the failure rateParameter and quantile estimation for the generalized Pareto distribution in peaks over threshold frameworkOn testing the extreme value index via the POT-methodConvergence of extreme value statistics in a two-layer quasi-geostrophic atmospheric modelSemi-parametric tail inference through probability-weighted momentsMultivariate generalized Pareto distributionsOn max-stable processes and the functional \(D\)-normPOT-based estimation of the renewal function of interoccurrence times of heavy-tailed risksPredicting extreme value at risk: nonparametric quantile regression with refinements from extreme value theoryYet another breakdown point notion: EFSBP. Illustrated at scale-shape modelsEstimating a bivariate tail: a copula based approachThe maximum \(L_q\)-likelihood method: an application to extreme quantile estimation in financeA goodness of fit approach to testing mean residual timesTesting for a multivariate generalized Pareto distributionGeneralizing the Pareto to the log-Pareto model and statistical inferenceA multivariate piecing-together approach with an application to operational loss dataUniversal behaviour of extreme value statistics for selected observables of dynamical systemsA generalized beta copula with applications in modeling multivariate long-tailed dataStatistical inferences for generalized Pareto distribution based on interior penalty function algorithm and bootstrap methods and applications in analyzing stock dataRuin probabilities for a regenerative Poisson gap generated risk processTesting for a generalized Pareto processThe multivariate piecing-together approach revisitedFiducial inference under nonparametric situationsOn the characterizing property of the convex conditional mean function.Extremal dependence analysis of network sessionsE-Bayesian estimation for the Lomax distribution based on type-II censored dataAsymptotics for risk capital allocations based on conditional tail expectationThe generalized Pareto process; with a view towards application and simulationLongevity bond premiums: the extreme value approach and risk cubic pricingOn a multivariate Pareto distributionA distributed quantile estimation algorithm of heavy-tailed distribution with massive datasetsModeling maxima with autoregressive conditional Fréchet modelMultivariate peaks over thresholds modelsA statistical test procedure for the shape parameter of a generalized Pareto distributionAn improved method for forecasting spare parts demand using extreme value theoryJump tails, extreme dependencies, and the distribution of stock returnsImproving extreme quantile estimation via a folding procedureA comparative study of the adaptive choice of thresholds in extreme hydrologic eventsEmpirical likelihood based confidence regions for first order parameters of heavy-tailed distribu\-tionsBeta polytopes and Poisson polyhedra: \(f\)-vectors and anglesModeling old-age mortality risk for the populations of Australia and New Zealand: An extreme value approachConditional distribution of heavy tailed random variables on large deviations of their sumApproximation of the distribution of excesses using a generalized probability weighted moment methodBlowing number of a distribution for a statistics and loyal estimatorsTowards a general theory of extremes for observables of chaotic dynamical systemsQuasi-stationary distributions and Yaglom limits of self-similar Markov processesAn application of extreme value theory to cryptocurrenciesFitting phase-type scale mixtures to heavy-tailed data and distributionsTesting Exponentiality Versus Pareto Distribution via Likelihood RatioExtreme behavior of bivariate elliptical distributionsCyber claim analysis using generalized Pareto regression trees with applications to insuranceIs human life limited or unlimited? (A discussion of the paper by Holger Rootzén and Dmitrii Zholud)Comments on ``Human life is unlimited -- but short by H. Rootzén and D. ZholudINLA goes extreme: Bayesian tail regression for the estimation of high spatio-temporal quantilesAutomated threshold selection for extreme value analysis via ordered goodness-of-fit tests with adjustment for false discovery rateA regional Bayesian POT model for flood frequency analysisExistence and consistency of the maximum likelihood estimator for the extreme value indexStatistics of extremes under random censoringEstimation of the extreme value index and extreme quantiles under random censoringStatistics of extremes for IID data and breakthroughs in the estimation of the extreme value index: Laurens de Haan leading contributionsA two-step estimator of the extreme value indexPrecise large deviations for dependent subexponential variablesThe coupling method in extreme value theoryClimate extreme event attribution using multivariate peaks-over-thresholds modeling and counterfactual theoryLocal asymptotic normality of truncated empirical processesRemaining useful life in theory and practiceGoodness-of-fit tests for additive mean residual life model under right censoringFrom extended regular variation to regular variation with application in extreme value statis\-ticsSecond-order refined peaks-over-threshold modelling for heavy-tailed distributionsAn extension of three-parameter Burr III distribution for low-flow frequency analysisStrictly stable laws for multivariate residual lifetimesA horse race between the block maxima method and the peak-over-threshold approachRegression estimator for the tail indexExtremes and regular variationSpace-time trend detection and dependence modeling in extreme event approaches by functional peaks-over-thresholds: application to precipitation in Burkina FasoSubexponential asymptotics for stochastic processes: Extremal behavior, stationary distributions and first passage probabilitiesAsymptotic properties of duration-based VaR backtestsComparison between two indicators for the variation regularity of tails of distributions




This page was built for publication: Residual life time at great age