Combined tail estimation using censored data and expert information
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Publication:5123185
DOI10.1080/03461238.2019.1694974zbMath1448.91255arXiv1908.03390OpenAlexW2990016873WikidataQ126671082 ScholiaQ126671082MaRDI QIDQ5123185
Jan Beirlant, Martin Bladt, Hansjoerg Albrecher
Publication date: 28 September 2020
Published in: Scandinavian Actuarial Journal (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1908.03390
Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistics of extreme values; tail inference (62G32) Estimation in survival analysis and censored data (62N02) Actuarial mathematics (91G05)
Related Items (5)
Expert Kaplan–Meier estimation ⋮ Matrix Mittag-Leffler distributions and modeling heavy-tailed risks ⋮ Threshold selection and trimming in extremes ⋮ Trimmed extreme value estimators for censored heavy-tailed data ⋮ Estimation of extremes for heavy-tailed and light-tailed distributions in the presence of random censoring
Uses Software
Cites Work
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- Estimation of Parameters and Larger Quantiles Based on the k Largest Observations
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