Estimating the conditional tail expectation in the case of heavy-tailed losses
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Cites work
- scientific article; zbMATH DE number 4111797 (Why is no real title available?)
- scientific article; zbMATH DE number 1301715 (Why is no real title available?)
- scientific article; zbMATH DE number 1026035 (Why is no real title available?)
- scientific article; zbMATH DE number 2015219 (Why is no real title available?)
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- scientific article; zbMATH DE number 2122818 (Why is no real title available?)
- A moment estimator for the index of an extreme-value distribution
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- A simple general approach to inference about the tail of a distribution
- A simple second-order reduced bias’ tail index estimator
- Asymptotically best linear unbiased tail estimators under a second-order regular variation condition
- Central limit theorems for sums of extreme values
- Conditional tail expectations for multivariate phase-type distributions
- Confidence intervals for the tail index
- Empirical estimation of the proportional hazard premium for heavy-tailed claim amounts
- Estimating conditional tail expectation with actuarial applications in view
- Estimating the First- and Second-Order Parameters of a Heavy-Tailed Distribution
- Estimating the mean of a heavy tailed distribution
- Estimation of Parameters and Larger Quantiles Based on the k Largest Observations
- Extreme value theory. An introduction.
- Generalized Lorenz curves and convexifications of stochastic processes
- Heavy-Tail Phenomena
- Laws of large numbers for sums of extreme values
- Limit theorems for the ratio of the empirical distribution function to the true distribution function
- On the estimation of the extreme-value index and large quantile estimation
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- Quantifying and Correcting the Bias in Estimated Risk Measures
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- Selecting the optimal sample fraction in univariate extreme value estimation
- Statistical estimate of the proportional hazard premium of loss
- Tail Conditional Expectations for Elliptical Distributions
- Tail Variance Premium with Applications for Elliptical Portfolio of Risks
- The Iterated Cte
- Using a bootstrap method to choose the sample fraction in tail index estimation
- Variance of the CTE Estimator
- Weighted empirical and quantile processes
- Weighted risk capital allocations
Cited in
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- Varying confidence levels for CVaR risk measures and minimax limits
- Estimating conditional tail expectation with actuarial applications in view
- Estimating the distortion parameter of the proportional hazards premium for heavy-tailed losses under Lévy-stable regime
- 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
- Estimation of the ruin probability in infinite time for heavy right-tailed losses
- Non-parametric estimation of conditional tail expectation for long-horizon returns
- Empirical tail conditional allocation and its consistency under minimal assumptions
- On the asymptotics of tail conditional expectation for portfolio loss under bivariate Eyraud-Farlie-Gumbel-Morgenstern copula and heavy tails
- Estimating the conditional tail expectation of randomly right-censored heavy-tailed data
- Robust estimator of the ruin probability in infinite time for heavy-tailed distributions
- Reliable alternative ways to manage the risk of extreme events
- Extreme-value based estimation of the conditional tail moment with application to reinsurance rating
- The asymptotic distribution of a truncated sample mean for the extremely heavy-tailed distributions
- Non-parametric estimation of extreme risk measures from conditional heavy-tailed distributions
- ESTIMATION OF HIGH CONDITIONAL TAIL RISK BASED ON EXPECTILE REGRESSION
- Estimating L-functionals for heavy-tailed distributions and application
- Estimation of the adjusted standard-deviatile for extreme risks
- Beyond tail median and conditional tail expectation: extreme risk estimation using tail \(L^p\)-optimization
- Robust estimator of conditional tail expectation of Pareto-type distribution
- Zenga's new index of economic inequality, its estimation, and an analysis of incomes in Italy
- Contrasting the Gini and Zenga indices of economic inequality
- 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
- Point process-based Monte Carlo estimation
- Heavy tailed capital incomes: Zenga index, statistical inference, and ECHP data analysis
- Estimating the distortion parameter of the proportional-hazard premium for heavy-tailed losses
- Reduced-bias estimator of the conditional tail expectation of heavy-tailed distributions
- The Automated Bias-Corrected and Accelerated Bootstrap Confidence Intervals for Risk Measures
- Estimators of contingent probabilities and means with actuarial applications
- Reduced-bias estimator of the ruin probability in infinite time for heavy-tailed distributions with index in the upper half of the unit interval
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