An optimal threshod selection approach for the value at risk of the extreme events

DOI10.1134/S1995080222120071OpenAlexW4313052069MaRDI QIDQ2680664

Uraiwan Jaroengeratikun, Jutamas Boonradsamee, Winai Bodhisuwan

Publication date: 4 January 2023

Published in: Lobachevskii Journal of Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1134/s1995080222120071

zbMATH Keywords

extreme value theorygeneralized Pareto distributionvalue-at-risk (VaR)peak over thresholdtail index estimator

Mathematics Subject Classification ID

Nonparametric inference (62Gxx) Nonlinear operators and their properties (47Hxx) Statistical distribution theory (62Exx)

Uses Software

• QRM

Cites Work

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• A simple generalisation of the Hill estimator
• An application of extreme value theory for measuring financial risk
• Residual life time at great age
• Statistical inference using extreme order statistics
• A simple general approach to inference about the tail of a distribution
• Sur la distribution limite du terme maximum d'une série aléatoire
• Statistics of Extremes
• Heavy-Tail Phenomena

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