scientific article; zbMATH DE number 6775527

zbMath1369.62279MaRDI QIDQ5357883

M. Ivette Gomes, Lígia Henriques-Rodrigues, Fernanda Figueiredo

Publication date: 18 September 2017

Full work available at URL: https://www.ine.pt/revstat/pdf/rs170202.pdf

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

zbMATH Keywords

asymptotic behaviourMonte Carlo simulationheavy tailsvalue-at-risksemiparametric methodsstatistics of extremeshigh quantilesPORT methodologymean-of-order-\(p\) estimation

Mathematics Subject Classification ID

Asymptotic distribution theory in statistics (62E20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70) Statistics of extreme values; tail inference (62G32)

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Dichotomous unimodal compound models: application to the distribution of insurance losses

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