Bias-reduced estimators for bivariate tail modelling

DOI10.1016/J.INSMATHECO.2011.01.010MaRDI QIDQ2276254zbMATH OpenOpenAlexFDO

Authors J. Beirlant, G. Dierckx, Armelle Guillou

Publication date 1 August 2011

Published in Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.insmatheco.2011.01.010

zbMATH Keywords

bias reductionbivariate slowly varying functionextreme value theory

Mathematics Subject Classification ID

Asymptotic properties of nonparametric inference (62G20) Statistics of extreme values; tail inference (62G32) Estimation in multivariate analysis (62H12)

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Cites work

• A new class of semi-parametric estimators of the second order parameter.
• A simple general approach to inference about the tail of a distribution
• Estimation of Parameters and Larger Quantiles Based on the k Largest Observations
• Fitting bivariate loss distributions with copulas
• scientific article; zbMATH DE number 3824949 (Why is no real title available?)
• scientific article; zbMATH DE number 1085999 (Why is no real title available?)
• Second-order refined peaks-over-threshold modelling for heavy-tailed distributions
• Understanding Relationships Using Copulas

Cited in

(22)

• Bias-corrected and robust estimation of the bivariate stable tail dependence function
• Bivariate tail estimation: dependence in asymptotic independence
• A bias-reduced estimator for the mean of a heavy-tailed distribution with an infinite second moment
• Robust nonparametric estimation of the conditional tail dependence coefficient
• Bias correction in multivariate extremes
• Reduced-bias estimator of the Proportional Hazard Premium for heavy-tailed distributions
• Robust and bias-corrected estimation of the coefficient of tail dependence
• Second-order tail asymptotics of deflated risks
• Robust and bias-corrected estimation of the probability of extreme failure sets
• Estimating a bivariate tail: a copula based approach
• Modeling of censored bivariate extremal events
• Bias reduction of a tail index estimator through an external estimation of the second-order parameter
• Asymptotically unbiased estimation of the coefficient of tail dependence
• Optimal number of upper order statistics used in estimation for the coefficient of tail dependence
• scientific article; zbMATH DE number 5492169 (Why is no real title available?)
• A Sturdy Reduced-Bias Extreme Quantile (VaR) Estimator
• A simple second-order reduced bias’ tail index estimator
• A modeler's guide to extreme value software
• Robust estimation of the conditional stable tail dependence function
• Reduced-bias estimation of the residual dependence index with unspecified marginals
• Bias reduction in risk modelling: semi-parametric quantile estimation
• Bias-corrected estimation of stable tail dependence function

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