Kernel estimation of extreme regression risk measures
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Publication:1697481
DOI10.1214/18-EJS1392zbMath1388.62141MaRDI QIDQ1697481
Laurent Gardes, Jonathan El Methni, Stéphane Girard
Publication date: 20 February 2018
Published in: Electronic Journal of Statistics (Search for Journal in Brave)
Full work available at URL: https://projecteuclid.org/euclid.ejs/1518663657
asymptotic normalitykernel estimatorrisk measuresextreme-value indexconditional tail momentextreme-value analysis
Density estimation (62G07) Asymptotic distribution theory in statistics (62E20) Order statistics; empirical distribution functions (62G30) Statistics of extreme values; tail inference (62G32)
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Extreme value estimation of the conditional risk premium in reinsurance, On the estimation of the variability in the distribution tail, Nonparametric estimation of conditional marginal excess moments
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