Estimating conditional tail expectation with actuarial applications in view

DOI10.1016/j.jspi.2005.11.011zbMath1152.62027OpenAlexW1968723219MaRDI QIDQ947261

Vytaras Brazauskas, Bruce L. Jones, Ričardas Zitikis, Madan Lal Puri

Publication date: 29 September 2008

Published in: Journal of Statistical Planning and Inference (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jspi.2005.11.011

zbMATH Keywords

confidence intervalsconsistencyasymptotic normalityquantile functionconditional tail expectationVervaat process

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Parametric tolerance and confidence regions (62F25) Asymptotic properties of nonparametric inference (62G20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Nonparametric tolerance and confidence regions (62G15) Statistics of extreme values; tail inference (62G32)

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