A global consistency result for the two-dimensional Pareto distribution in the presence of misspecified inflation

DOI10.1007/s00780-010-0126-8zbMath1226.91086OpenAlexW2084135502MaRDI QIDQ650771

Grigory Temnov, Peter Grandits

Publication date: 27 November 2011

Published in: Finance and Stochastics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00780-010-0126-8

zbMATH Keywords

inflationPareto distributionglobal consistencymisspecified modelML estimation

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70)

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