When is tail mean estimation more efficient than tail median? Answers and implications for quantitative risk management (Q1640042)
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scientific article; zbMATH DE number 6888125
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | When is tail mean estimation more efficient than tail median? Answers and implications for quantitative risk management |
scientific article; zbMATH DE number 6888125 |
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When is tail mean estimation more efficient than tail median? Answers and implications for quantitative risk management (English)
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13 June 2018
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value-at-risk
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expected shortfall
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generalized quantile function
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exponential power distribution
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extreme value theory
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asymptotic relative efficiency
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rate of convergence
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