Reduced-bias estimation of the extreme conditional tail expectation for Box-Cox transforms of heavy-tailed distributions
DOI10.1016/J.JSPI.2024.106189zbMATH Open1543.62353MaRDI QIDQ6592804
Michaël Allouche, Jonathan El Methni, Stéphane Girard
Publication date: 26 August 2024
Published in: Journal of Statistical Planning and Inference (Search for Journal in Brave)
asymptotic normalityheavy-tailed distributionsrisk measuresextreme-value statisticsconditional tail expectationpremium principle
Asymptotic distribution theory in statistics (62E20) Order statistics; empirical distribution functions (62G30) Statistics of extreme values; tail inference (62G32)
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