Estimating catastrophic quantile levels for heavy-tailed distributions
type: Item
instance of: scholarly article
title: Estimating catastrophic quantile levels for heavy-tailed distributions
zbMATH Open document ID: 1188.91237
author: Gunther Matthys
author: Emmanuel Delafosse
author: Armelle Guillou
author: J. Beirlant
published in: Insurance Mathematics \& Economics
publication date: 2010-06-20T00:00:00Z
Mathematics Subject Classification ID: 91G70
Mathematics Subject Classification ID: 62P05
Mathematics Subject Classification ID: 60E05
Mathematics Subject Classification ID: 62E10
Mathematics Subject Classification ID: 62E20
Mathematics Subject Classification ID: 91B30
zbMATH DE Number: 5723541
zbMATH Keywords: Pareto index
zbMATH Keywords: Extreme quantiles
zbMATH Keywords: Censoring
zbMATH Keywords: Bias reduction
MaRDI profile type: Publication
full work available at URL: j.insmatheco.2004.03.004
OpenAlex ID: W2078221804
cites work: Tail index estimation and an exponential regression model
cites work: On exponential representations of log-spacings of extreme order statistics
cites work: Pareto Index Estimation Under Moderate Right Censoring
cites work: Q4726487
cites work: On the estimation of high quantiles
cites work: Almost sure convergence of the Hill estimator
cites work: Almost sure convergence of a tail index estimator in the presence of censoring.
cites work: On Smooth Statistical Tail Functionals
cites work: Extreme quantile estimation for dependent data, with applications to finance
cites work: Selecting the optimal sample fraction in univariate extreme value estimation
cites work: Estimating a tail exponent by modelling departure from a Pareto distribution
cites work: On asymptotic normality of Hill's estimator for the exponent of regular variation
cites work: A simple general approach to inference about the tail of a distribution
cites work: Estimating tails of probability distributions
cites work: Q5797478
cites work: Estimation of Parameters and Larger Quantiles Based on the k Largest Observations
DOI: 10.1016/J.INSMATHECO.2004.03.004
description: scientific article; zbMATH DE number 5723541