Empirical tail conditional allocation and its consistency under minimal assumptions
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Publication:2086280
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- scientific article; zbMATH DE number 1104922 (Why is no real title available?)
- scientific article; zbMATH DE number 2122818 (Why is no real title available?)
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Cited in
(5)- Assessing the coverage probabilities of fixed-margin confidence intervals for the tail conditional allocation
- Assessing the difference between integrated quantiles and integrated cumulative distribution functions
- Inference for the tail conditional allocation: large sample properties, insurance risk assessment, and compound sums of concomitants
- Estimating the VaR-induced Euler allocation rule
- Tail maximal dependence in bivariate models: estimation and applications
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