Kernel-type estimator of the conditional tail expectation for a heavy-tailed distribution
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Publication:2015636
DOI10.1016/J.INSMATHECO.2013.09.004zbMATH Open1290.62034OpenAlexW2079962093MaRDI QIDQ2015636FDOQ2015636
Authors: Abdelaziz Rassoul 
Publication date: 23 June 2014
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.insmatheco.2013.09.004
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Cites Work
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- Weighted empirical and quantile processes
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- Tail index estimation and an exponential regression model
- Selecting the optimal sample fraction in univariate extreme value estimation
- Estimation of Parameters and Larger Quantiles Based on the k Largest Observations
- A Sturdy Reduced-Bias Extreme Quantile (VaR) Estimator
- Improving second order reduced bias extreme value index estimation
- Tail Conditional Expectations for Elliptical Distributions
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- Confidence intervals for the tail index
- Tail Variance Premium with Applications for Elliptical Portfolio of Risks
- Weighted risk capital allocations
- Estimating the conditional tail expectation in the case of heavy-tailed losses
- Asymptotically best linear unbiased tail estimators under a second-order regular variation condition
- The Iterated Cte
- Reiss and Thomas' automatic selection of the number of extremes
- Reduced-bias estimator of the Proportional Hazard Premium for heavy-tailed distributions
Cited In (8)
- Robust estimator of conditional tail expectation of Pareto-type distribution
- Reduced-bias estimator of the conditional tail expectation of heavy-tailed distributions
- Reduced-bias estimation of the extreme conditional tail expectation for Box-Cox transforms of heavy-tailed distributions
- Weighted allocations, their concomitant-based estimators, and asymptotics
- Generalized Kernel Estimators for the Weibull-Tail Coefficient
- Estimating the conditional tail expectation in the case of heavy-tailed losses
- Kernel-type estimator of the mean for a heavy tailed distribution
- Kernel-type estimator of the reinsurance premium for heavy-tailed loss distributions
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