Estimation of Tail Risk Based on Extreme Expectiles
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Publication:4607209
DOI10.1111/RSSB.12254zbMath1383.62235OpenAlexW2346600303MaRDI QIDQ4607209
Gilles Stupfler, Abdelaati Daouia, Stéphane Girard
Publication date: 13 March 2018
Published in: Journal of the Royal Statistical Society Series B: Statistical Methodology (Search for Journal in Brave)
Full work available at URL: http://publications.ut-capitole.fr/25668/1/wp_tse_566_2017.pdf
extreme valuesextrapolationheavy tailscoherencyvalue at riskexpectilesmarginal expected shortfallasymmetric squared loss
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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