ESTIMATION OF RISK MEASURES FROM HEAVY TAILED DISTRIBUTIONS

Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70) Nonparametric estimation (62G05) Statistics of extreme values; tail inference (62G32)

Related Items (1)

Semi-parametric estimation of the quintile share ratio index of inequality measure for heavy-tailed income distributions with index in the upper half of the unit interval

Cites Work

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Improved reduced-bias tail index and quantile estimators
On univariate extreme value statistics and the estimation of reinsurance premiums
Coherent Measures of Risk
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Estimation of Parameters and Larger Quantiles Based on the k Largest Observations
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A Sturdy Reduced-Bias Extreme Quantile (VaR) Estimator
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Empirical Estimation of Risk Measures and Related Quantities
Estimating the mean of a heavy tailed distribution

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