Publication:5357883
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zbMath1369.62279MaRDI QIDQ5357883
M. Ivette Gomes, Lígia Henriques-Rodrigues, Fernanda Figueiredo
Publication date: 18 September 2017
Full work available at URL: https://www.ine.pt/revstat/pdf/rs170202.pdf
asymptotic behaviour; Monte Carlo simulation; heavy tails; value-at-risk; semiparametric methods; statistics of extremes; high quantiles; PORT methodology; mean-of-order-\(p\) estimation
62E20: Asymptotic distribution theory in statistics
62P05: Applications of statistics to actuarial sciences and financial mathematics
91G70: Statistical methods; risk measures
62G32: Statistics of extreme values; tail inference