Extreme versions of Wang risk measures and their estimation for heavy-tailed distributions

DOI10.5705/SS.202015.0460zbMath1362.62183OpenAlexW2810971860MaRDI QIDQ2977536

Gilles Stupfler, Jonathan El Methni

Publication date: 18 April 2017

Published in: Statistica Sinica (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.5705/ss.202015.0460

zbMATH Keywords

asymptotic normalityheavy-tailed distributionextreme-value statisticsdistortion risk measureextreme value-at-riskconditional tail momentadapted estimators

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70) Extreme value theory; extremal stochastic processes (60G70) Statistics of extreme values; tail inference (62G32)

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