Estimating extreme tail risk measures with generalized Pareto distribution

DOI10.1016/J.CSDA.2015.12.008zbMath1468.62155OpenAlexW2222524199MaRDI QIDQ1659253

Joseph H. T. Kim, Myung Hyun Park

Publication date: 15 August 2018

Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.csda.2015.12.008

zbMATH Keywords

generalized Pareto distributionvalue-at-risk (VaR)conditional tail expectation (CTE)peaks over threshold (POT)tail VaRweighted nonlinear least squares

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Computational methods for problems pertaining to statistics (62-08) Applications of statistics to actuarial sciences and financial mathematics (62P05) Point estimation (62F10)

Related Items (4)

Extreme tail risk estimation with the generalized Pareto distribution under the peaks-over-threshold framework ⋮ Parameter and quantile estimation for the generalized Pareto distribution in peaks over threshold framework ⋮ Upper record values from the generalized Pareto distribution and associated statistical inference ⋮ A distributed quantile estimation algorithm of heavy-tailed distribution with massive datasets

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