ESTIMATION OF RISK MEASURES FROM HEAVY TAILED DISTRIBUTIONS

Nonparametric estimation (62G05) Statistics of extreme values; tail inference (62G32) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70)

Cites Work

Coherent measures of risk
Extreme value theory. An introduction.
Estimating conditional tail expectation with actuarial applications in view
Weighted empirical and quantile processes
Empirical Estimation of Risk Measures and Related Quantities
A simple general approach to inference about the tail of a distribution
``Asymptotically unbiased estimators of the tail index based on external estimation of the second order parameter
On exponential representations of log-spacings of extreme order statistics
Tail index estimation and an exponential regression model
Improved reduced-bias tail index and quantile estimators
On univariate extreme value statistics and the estimation of reinsurance premiums
Title not available (Why is that?)
Title not available (Why is that?)
Estimation of Parameters and Larger Quantiles Based on the k Largest Observations
Title not available (Why is that?)
A Sturdy Reduced-Bias Extreme Quantile (VaR) Estimator
Risk measures, distortion parameters, and their empirical estimation
Kernel estimates of the tail index of a distribution
Estimating a tail exponent by modelling departure from a Pareto distribution
Insurance pricing and increased limits ratemaking by proportional hazards transforms
Title not available (Why is that?)
Bias reduction for high quantiles
Testing for the order of risk measures: an application of \(L\)-statistics in actuarial science
Title not available (Why is that?)
Estimating catastrophic quantile levels for heavy-tailed distributions
A synthesis of risk measures for capital adequacy
Estimating the mean of a heavy tailed distribution
Estimating the conditional tail expectation in the case of heavy-tailed losses
Empirical estimation of the proportional hazard premium for heavy-tailed claim amounts
Statistical estimate of the proportional hazard premium of loss
Title not available (Why is that?)
Title not available (Why is that?)
Applying the Proportional Hazard Premium Calculation Principle
Estimating the distortion parameter of the proportional-hazard premium for heavy-tailed losses
Reduced-bias estimator of the Proportional Hazard Premium for heavy-tailed distributions
Reduced-bias estimator of the conditional tail expectation of heavy-tailed distributions
Bias-corrected estimation in distortion risk premiums for heavy-tailed losses

Cited In (12)

Improved inference on risk measures for univariate extremes
(Non-)robustness of maximum likelihood estimators for operational risk severity distributions
Estimating and backtesting risk under heavy tails
Quantifying and Correcting the Bias in Estimated Risk Measures
Title not available (Why is that?)
Semi-parametric estimation of the quintile share ratio index of inequality measure for heavy-tailed income distributions with index in the upper half of the unit interval
High level quantile approximations of sums of risks
Robust estimator of the ruin probability in infinite time for heavy-tailed distributions
Reduced-bias estimator of the ruin probability in infinite time for heavy-tailed distributions with index in the upper half of the unit interval
Estimation of Tail Risk Based on Extreme Expectiles
ESTIMATION OF HIGH CONDITIONAL TAIL RISK BASED ON EXPECTILE REGRESSION
Measuring risks in the tail: The extreme VaR and its confidence interval

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