Combined tail estimation using censored data and expert information

DOI10.1080/03461238.2019.1694974zbMath1448.91255arXiv1908.03390WikidataQ126671082 ScholiaQ126671082MaRDI QIDQ5123185

Jan Beirlant, Hansjoerg Albrecher, Martin Bladt

Publication date: 28 September 2020

Published in: Scandinavian Actuarial Journal (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1908.03390

zbMATH Keywords

regular variation; survival analysis; penalized likelihood; extreme value statistics

Mathematics Subject Classification ID

62P05: Applications of statistics to actuarial sciences and financial mathematics

62G32: Statistics of extreme values; tail inference

62N02: Estimation in survival analysis and censored data

91G05: Actuarial mathematics

Uses Software

• icensBKL