ESTIMATION OF HIGH CONDITIONAL TAIL RISK BASED ON EXPECTILE REGRESSION

DOI10.1017/asb.2021.3zbMath1479.91328OpenAlexW3133201833MaRDI QIDQ5152549

Yu Chen, Jie Hu, Keqi Tan

Publication date: 24 September 2021

Published in: ASTIN Bulletin (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1017/asb.2021.3

zbMATH Keywords

quantile regressionasymptoticheavy-tailed distributiontail indexexpectile regression

Mathematics Subject Classification ID

Nonparametric regression and quantile regression (62G08) Applications of statistics to actuarial sciences and financial mathematics (62P05) Actuarial mathematics (91G05)

Cites Work

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• A simple second-order reduced bias’ tail index estimator

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