Estimating the conditional tail expectation in the case of heavy-tailed losses

DOI10.1155/2010/596839zbMATH Open1200.91142OpenAlexW2082820511WikidataQ58652672 ScholiaQ58652672MaRDI QIDQ609705FDOQ609705

Ričardas Zitikis, Abdelaziz Rassoul, A. Necir

Publication date: 1 December 2010

Published in: Journal of Probability and Statistics (Search for Journal in Brave)

Full work available at URL: https://eudml.org/doc/232635

Mathematics Subject Classification ID

Nonparametric estimation (62G05) Statistics of extreme values; tail inference (62G32) Statistical methods; risk measures (91G70)

Cites Work

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Cited In (26)

• On the asymptotics of tail conditional expectation for portfolio loss under bivariate Eyraud-Farlie-Gumbel-Morgenstern copula and heavy tails
• Robust estimator of conditional tail expectation of Pareto-type distribution
• The asymptotic distribution of a truncated sample mean for the extremely heavy-tailed distributions
• Estimating the conditional tail expectation of randomly right-censored heavy-tailed data
• Assessing the difference between integrated quantiles and integrated cumulative distribution functions
• Weighted allocations, their concomitant-based estimators, and asymptotics
• ESTIMATION OF RISK MEASURES FROM HEAVY TAILED DISTRIBUTIONS
• Varying confidence levels for CVaR risk measures and minimax limits
• Reliable alternative ways to manage the risk of extreme events
• The Automated Bias-Corrected and Accelerated Bootstrap Confidence Intervals for Risk Measures
• 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
• Contrasting the Gini and Zenga indices of economic inequality
• Heavy tailed capital incomes: Zenga index, statistical inference, and ECHP data analysis
• Robust estimator of the ruin probability in infinite time for heavy-tailed distributions
• Zenga's new index of economic inequality, its estimation, and an analysis of incomes in Italy
• Extreme-value based estimation of the conditional tail moment with application to reinsurance rating
• Non-parametric Estimation of Extreme Risk Measures from Conditional Heavy-tailed Distributions
• Estimating the distortion parameter of the proportional-hazard premium for heavy-tailed losses
• Reduced-bias estimator of the ruin probability in infinite time for heavy-tailed distributions with index in the upper half of the unit interval
• Estimating the distortion parameter of the proportional hazards premium for heavy-tailed losses under Lévy-stable regime
• ESTIMATION OF HIGH CONDITIONAL TAIL RISK BASED ON EXPECTILE REGRESSION
• Estimation of the adjusted standard-deviatile for extreme risks
• Empirical tail conditional allocation and its consistency under minimal assumptions
• Estimation of the Ruin Probability in Infinite Time for Heavy Right-Tailed Losses
• Point process-based Monte Carlo estimation
• Kernel-type estimator of the conditional tail expectation for a heavy-tailed distribution

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