When is tail mean estimation more efficient than tail median? Answers and implications for quantitative risk management

DOI10.1007/s10479-017-2547-7zbMath1391.62192OpenAlexW2624363749MaRDI QIDQ1640042

Kent Pearce, A. Alexandre Trindade, Roger W. Barnard

Publication date: 13 June 2018

Published in: Annals of Operations Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10479-017-2547-7

zbMATH Keywords

rate of convergenceasymptotic relative efficiencyextreme value theoryvalue-at-riskexpected shortfallexponential power distributiongeneralized quantile function

Mathematics Subject Classification ID

Related Items (3)

Risk quantification and validation for Bitcoin ⋮ Uncertainty Comparison Between Value-at-Risk and Expected Shortfall ⋮ Dynamic large financial networks \textit{via} conditional expected shortfalls

Uses Software

• normalp
• QRM

Cites Work

• A generalized normal distribution
• A note on generalized inverses
• Coherent Measures of Risk
• Stochastic Finance
• Conditional Value-at-Risk and Average Value-at-Risk: Estimation and Asymptotics
• A multivariate generalization of the power exponential family of distributions
• Order Statistics
• Tail Conditional Expectations for Elliptical Distributions
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