scientific article; zbMATH DE number 7529510

zbMath1492.91437MaRDI QIDQ5077796

Grażyna Trzpiot, Justyna Majewska

Publication date: 20 May 2022

Full work available at URL: https://ord.pwr.edu.pl/Issues/2010/vol20/p158

Title: zbMATH Open Web Interface contents unavailable due to conflicting licenses.

zbMATH Keywords

extreme value theoryvalue at risksemi-nonparametric methodrobust methods of estimation

Mathematics Subject Classification ID

Nonparametric robustness (62G35) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70) Statistics of extreme values; tail inference (62G32)

Related Items (1)

Quantifying market risk with value-at-risk or expected shortfall? -- Consequences for capital requirements and model risk

Cites Work

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• Robust estimation of the generalized Pareto distribution
• Robust Estimation of a Location Parameter
• SYSTEMS OF FREQUENCY CURVES GENERATED BY METHODS OF TRANSLATION
• Robust Statistics
• Robust estimation of tail parameters for two-parameter Pareto and exponential models via generalized quantile statistics

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