Penalized quasi-likelihood estimation of generalized Pareto regression -- consistent identification of risk factors for extreme losses
DOI10.1016/J.INSMATHECO.2022.01.005OpenAlexW4211206952MaRDI QIDQ2138617
Publication date: 12 May 2022
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.insmatheco.2022.01.005
extreme value theorygeneralized Pareto distributionquasi-maximum likelihood estimationgeneralized information criteriontuning parameter selection consistency
Applications of statistics to actuarial sciences and financial mathematics (62P05) Point estimation (62F10) Statistics of extreme values; tail inference (62G32)
Uses Software
Cites Work
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