When is tail mean estimation more efficient than tail median? Answers and implications for quantitative risk management
type: Item
instance of: scholarly article
title: When is tail mean estimation more efficient than tail median? Answers and implications for quantitative risk management
zbMATH Open document ID: 1391.62192
author: Roger W. Barnard
author: Kent Pearce
author: A. Alexandre Trindade
published in: Annals of Operations Research
publication date: 2018-06-13T00:00:00Z
Mathematics Subject Classification ID: 62P05
Mathematics Subject Classification ID: 62G32
Mathematics Subject Classification ID: 91B30
zbMATH DE Number: 6888125
zbMATH Keywords: value-at-risk
zbMATH Keywords: expected shortfall
zbMATH Keywords: generalized quantile function
zbMATH Keywords: exponential power distribution
zbMATH Keywords: extreme value theory
zbMATH Keywords: asymptotic relative efficiency
zbMATH Keywords: rate of convergence
describes a project that uses: QRM
describes a project that uses: normalp
MaRDI profile type: Publication
full work available at URL: s10479-017-2547-7
OpenAlex ID: W2624363749
cites work: Q3331506
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cites work: Order Statistics
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cites work: Q5824493
cites work: Stochastic Finance
cites work: A multivariate generalization of the power exponential family of distributions
cites work: Tail Conditional Expectations for Elliptical Distributions
cites work: Q5706744
cites work: A generalized normal distribution
cites work: Q3528030
DOI: 10.1007/S10479-017-2547-7
description: scientific article; zbMATH DE number 6888125