Kernel-type estimator of the conditional tail expectation for a heavy-tailed distribution

DOI10.1016/j.insmatheco.2013.09.004zbMath1290.62034MaRDI QIDQ2015636

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

zbMATH Keywords

heavy tails; kernel; risk measure; Hill estimator; extreme quantile; reduced bias; CTE

Mathematics Subject Classification ID

62G07: Density estimation

62G32: Statistics of extreme values; tail inference

Related Items

Weighted allocations, their concomitant-based estimators, and asymptotics

Uses Software

• R

Cites Work

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