Kernel-type estimator of the conditional tail expectation for a heavy-tailed distribution
From MaRDI portal
(Redirected from Publication:2015636)
Recommendations
- Reduced-bias estimator of the conditional tail expectation of heavy-tailed distributions
- Estimating the conditional tail expectation in the case of heavy-tailed losses
- Robust estimator of conditional tail expectation of Pareto-type distribution
- Kernel-type estimator of the mean for a heavy tailed distribution
- Estimating the conditional tail index by integrating a kernel conditional quantile estimator
Cites work
- A Sturdy Reduced-Bias Extreme Quantile (VaR) Estimator
- A simple general approach to inference about the tail of a distribution
- Asymptotically best linear unbiased tail estimators under a second-order regular variation condition
- Bias reduction and explicit semi-parametric estimation of the tail index
- Conditional tail expectations for multivariate phase-type distributions
- Confidence intervals for the tail index
- Estimating a tail exponent by modelling departure from a Pareto distribution
- Estimating conditional tail expectation with actuarial applications in view
- Estimating the First- and Second-Order Parameters of a Heavy-Tailed Distribution
- Estimating the conditional tail expectation in the case of heavy-tailed losses
- Estimation of Parameters and Larger Quantiles Based on the k Largest Observations
- Extreme value theory. An introduction.
- Improving second order reduced bias extreme value index estimation
- Kernel estimates of the tail index of a distribution
- On exponential representations of log-spacings of extreme order statistics
- Optimal choice of sample fraction in extreme-value estimation
- Reduced-bias estimator of the Proportional Hazard Premium for heavy-tailed distributions
- Reiss and Thomas' automatic selection of the number of extremes
- Selecting the optimal sample fraction in univariate extreme value estimation
- Tail Conditional Expectations for Elliptical Distributions
- Tail Variance Premium with Applications for Elliptical Portfolio of Risks
- Tail index estimation and an exponential regression model
- The Iterated Cte
- Using a bootstrap method to choose the sample fraction in tail index estimation
- Weighted empirical and quantile processes
- Weighted risk capital allocations
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
- Estimating the conditional tail expectation in the case of heavy-tailed losses
- Generalized Kernel Estimators for the Weibull-Tail Coefficient
- Kernel-type estimator of the mean for a heavy tailed distribution
- Kernel-type estimator of the reinsurance premium for heavy-tailed loss distributions
This page was built for publication: Kernel-type estimator of the conditional tail expectation for a heavy-tailed distribution
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2015636)
