Adaptive reduced-bias tail index and VaR estimation via the bootstrap methodology

DOI10.1080/03610926.2011.562782MaRDI QIDQ3098930zbMATH OpenOpenAlexFDO

Authors M. Ivette Gomes, Sandra Mendonça, Dinis Pestana

Publication date 18 November 2011

Published in Communications in Statistics: Theory and Methods (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/03610926.2011.562782

zbMATH Keywords

semi-parametric estimationstatistics of extremesvalue at risk

Mathematics Subject Classification ID

Asymptotic properties of nonparametric inference (62G20) Nonparametric statistical resampling methods (62G09) Statistics of extreme values; tail inference (62G32) Applications of statistics to actuarial sciences and financial mathematics (62P05)

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Cites work

• A Sturdy Reduced-Bias Extreme Quantile (VaR) Estimator
• A bootstrap-based method to achieve optimality in estimating the extreme-value index
• A new class of estimators of a ``scale second order parameter
• A simple general approach to inference about the tail of a distribution
• A simple second-order reduced bias’ tail index estimator
• Alternatives to a semi-parametric estimator of parameters of rare events -- the jackknife methodology
• Asymptotically unbiased estimators for the extreme-value index
• Bias reduction for high quantiles
• Bias reduction in risk modelling: semi-parametric quantile estimation
• Estimating a tail exponent by modelling departure from a Pareto distribution
• Estimating catastrophic quantile levels for heavy-tailed distributions
• Estimation of Parameters and Larger Quantiles Based on the k Largest Observations
• Improved reduced-bias tail index and quantile estimators
• Kernel estimators for the second order parameter in extreme value statistics
• On univariate extreme value statistics and the estimation of reinsurance premiums
• Reduced-Bias Tail Index Estimators Under a Third-Order Framework
• Semi-parametric estimation for heavy tailed distributions
• Statistics of Extremes
• Statistics of extremes for IID data and breakthroughs in the estimation of the extreme value index: Laurens de Haan leading contributions
• Tail index and second-order parameters' semi-parametric estimation based on the log-excesses
• Tail index estimation and an exponential regression model
• The bootstrap methodology in statistics of extremes -- choice of optimal sample fraction
• Using a bootstrap method to choose the sample fraction in tail index estimation
• Using the bootstrap to estimate mean squared error and select smoothing parameter in nonparametric problems
• ``Asymptotically unbiased estimators of the tail index based on external estimation of the second order parameter

Cited in

(7)

• Corrected-Hill versus partially reduced-bias value-at-risk estimation
• A computational study of a quasi-PORT methodology for VaR based on second-order reduced-bias estimation
• The PORTSEA (Portuguese School of Extremes and Applications) and a few personal scientific achievements
• A simple generalisation of the Hill estimator
• Adaptive estimation of heavy right tails: resampling-based methods in action
• Adaptive PORT-MVRB estimation of the extreme value index
• Semi-parametric probability-weighted moments estimation revisited

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