Extreme quantiles estimation for actuarial applications

DOI10.1016/J.CRMA.2004.06.005zbMath1050.62059OpenAlexW2002898832MaRDI QIDQ1887025

Emmanuel Delafosse, Armelle Guillou

Publication date: 23 November 2004

Published in: Comptes Rendus. Mathématique. Académie des Sciences, Paris (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.crma.2004.06.005

zbMATH Keywords

simulations

Mathematics Subject Classification ID

Asymptotic distribution theory in statistics (62E20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistics of extreme values; tail inference (62G32)

Cites Work

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• Residual life time at great age
• Statistical inference using extreme order statistics
• A simple general approach to inference about the tail of a distribution
• Estimation of Parameters and Larger Quantiles Based on the k Largest Observations

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