Robust estimator of conditional tail expectation of Pareto-type distribution
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Publication:2223161
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Cites work
- A robust estimator for the tail index of Pareto-type distributions
- A simple general approach to inference about the tail of a distribution
- Estimating conditional tail expectation with actuarial applications in view
- Estimating the conditional tail expectation in the case of heavy-tailed losses
- Estimation of a tail index based on minimum density power divergence
- Estimation of Parameters and Larger Quantiles Based on the k Largest Observations
- scientific article; zbMATH DE number 5204924 (Why is no real title available?)
- On the favorable estimation for fitting heavy tailed data
- Reduced-bias estimator of the Proportional Hazard Premium for heavy-tailed distributions
- Robust and efficient estimation for the generalized Pareto distribution
- Robust estimation of the generalized Pareto distribution
- Robust estimator of distortion risk premiums for heavy-tailed losses
- Second-order regular variation and rates of convergence in extreme-value theory
- Second-order regular variation, convolution and the central limit theorem
- Small sample robust testing for normality against Pareto tails
- Statistical estimate of the proportional hazard premium of loss
- The harmonic moment tail index estimator: asymptotic distribution and robustness
- Weak asymptotic results for t-Hill estimator
- Weak properties and robustness of t-Hill estimators
- Weighted empirical and quantile processes
Cited in
(11)- Robust estimation of the generalized Pareto distribution
- Kernel-type estimator of the conditional tail expectation for a heavy-tailed distribution
- Robust and asymptotically unbiased estimation of extreme quantiles for heavy tailed distributions
- Robust estimator of distortion risk premiums for heavy-tailed losses
- Beyond tail median and conditional tail expectation: extreme risk estimation using tail \(L^p\)-optimization
- Reduced-bias estimator of the conditional tail expectation of heavy-tailed distributions
- Estimating the conditional tail expectation in the case of heavy-tailed losses
- Dependent conditional tail expectation for extreme levels
- Estimating the conditional tail expectation of randomly right-censored heavy-tailed data
- Robust estimator of the ruin probability in infinite time for heavy-tailed distributions
- Estimating conditional tail expectation with actuarial applications in view
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