Bias-corrected estimation for conditional Pareto-type distributions with random right censoring
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Publication:2322840
DOI10.1007/s10687-019-00341-7zbMath1429.62174OpenAlexW2913109670MaRDI QIDQ2322840
Armelle Guillou, Yuri Goegebeur, Jing Qin
Publication date: 5 September 2019
Published in: Extremes (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s10687-019-00341-7
Nonparametric regression and quantile regression (62G08) Asymptotic properties of nonparametric inference (62G20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Applications of statistics to biology and medical sciences; meta analysis (62P10) Censored data models (62N01) Statistics of extreme values; tail inference (62G32)
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Conditional marginal expected shortfall, Extreme value estimation of the conditional risk premium in reinsurance, Robust estimation of the Pickands dependence function under random right censoring, Robust estimation of the conditional stable tail dependence function, Dependent conditional tail expectation for extreme levels, Local robust estimation of Pareto-type tails with random right censoring, Trimmed extreme value estimators for censored heavy-tailed data, Nonparametric estimation of conditional marginal excess moments, Estimation of extremes for heavy-tailed and light-tailed distributions in the presence of random censoring
Uses Software
Cites Work
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