Penalized quasi-likelihood estimation of generalized Pareto regression -- consistent identification of risk factors for extreme losses

DOI10.1016/J.INSMATHECO.2022.01.005OpenAlexW4211206952MaRDI QIDQ2138617

Jin Meng, Kung-Sik Chan

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

zbMATH Keywords

extreme value theorygeneralized Pareto distributionquasi-maximum likelihood estimationgeneralized information criteriontuning parameter selection consistency

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Point estimation (62F10) Statistics of extreme values; tail inference (62G32)

Uses Software

• CASdatasets
• QRM
• optimx

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Nearly unbiased variable selection under minimax concave penalty
• The Adaptive Lasso and Its Oracle Properties
• A Fast Iterative Shrinkage-Thresholding Algorithm for Linear Inverse Problems
• Asymptotic properties of criteria for selection of variables in multiple regression
• Residual life time at great age
• Statistical inference using extreme order statistics
• Extreme value analysis of environmental time series: an application to trend detection in ground-level ozone. With comments and a rejoinder by the author
• A globally convergent algorithm for nonconvex optimization based on block coordinate update
• Nonconcave penalized likelihood with a diverging number of parameters.
• Severity modeling of extreme insurance claims for tariffication
• Extended Bayesian information criteria for model selection with large model spaces
• Variable Selection via Nonconcave Penalized Likelihood and its Oracle Properties
• Exponentiated generalized Pareto distribution: Properties and applications towards extreme value theory
• Regularization Parameter Selections via Generalized Information Criterion
• Tuning Parameter Selection in High Dimensional Penalized Likelihood
• Generalized Additive Modelling of Sample Extremes

This page was built for publication: Penalized quasi-likelihood estimation of generalized Pareto regression -- consistent identification of risk factors for extreme losses