Scaling of high-quantile estimators

DOI10.1239/JAP/1324046013MaRDI QIDQ3108468zbMATH OpenOpenAlexFDO

Authors Matthias Degen, Paul Embrechts

Publication date 4 January 2012

Published in Journal of Applied Probability (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1239/jap/1324046013

zbMATH Keywords

extreme value theorypeaks over thresholdpenultimate approximationpower normalizationsecond-order extended regular variation

Mathematics Subject Classification ID

Asymptotic properties of nonparametric inference (62G20) Statistics of extreme values; tail inference (62G32) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70)

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Cites work

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Cited in

(8)

• Efficient high-breakdown M-estimators of scale
• Risk concentration under second order regular variation
• On the estimation of high quantiles
• New power limits for extremes
• High quantile estimation and the PORT methodology
• Approximation of high quantiles from intermediate quantiles
• EVT-based estimation of risk capital and convergence of high quantiles
• The maximum \(L_q\)-likelihood method: an application to extreme quantile estimation in finance

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