Empirical tail conditional allocation and its consistency under minimal assumptions
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Publication:2086280
DOI10.1007/s10463-021-00813-3zbMath1497.62117OpenAlexW3215988264WikidataQ114691258 ScholiaQ114691258MaRDI QIDQ2086280
Ričardas Zitikis, Jianxi Su, N. V. Gribkova
Publication date: 25 October 2022
Published in: Annals of the Institute of Statistical Mathematics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s10463-021-00813-3
Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistics of extreme values; tail inference (62G32)
Related Items (3)
Inference for the tail conditional allocation: large sample properties, insurance risk assessment, and compound sums of concomitants ⋮ Assessing the difference between integrated quantiles and integrated cumulative distribution functions ⋮ Tail maximal dependence in bivariate models: estimation and applications
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Cites Work
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