Reduced-Bias Estimator of the Conditional Tail Expectation of Heavy-Tailed Distributions-Reference-Cited by-同舟云学术

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Reduced-Bias Estimator of the Conditional Tail Expectation of Heavy-Tailed Distributions

Published:2015 Issue: Volume: Page:105-123
ISSN:
Container-title:Mathematical Statistics and Limit Theorems
language:
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Author:

Deme El Hadji,Girard Stéphane,Guillou Armelle

Publisher

Springer International Publishing

Link

http://link.springer.com/content/pdf/10.1007/978-3-319-12442-1_7

Reference22 articles.

1. Artzner, P., Delbaen, F., Eber, J.-M., & Heath, D. (1999). Coherent measures of risk. Mathematical Finance, 9, 203–228.

2. Beirlant, J., Dierckx, G., Goegebeur, M., & Matthys, G. (1999). Tail index estimation and an exponential regression model. Extremes, 2, 177–200.

3. Beirlant, J., Dierckx, G., Guillou, A., & Starica, C. (2002). On exponential representations of log-spacings of extreme order statistics. Extremes, 5, 157–180.

4. Bingham, N. H., Goldie, C. M., & Teugels, J. L. (1987). Regular variation, Cambridge.

5. Brazauskas, V., Jones, B., Puri, M., & Zitikis, R. (2008). Estimating conditional tail expectation with actuarial applications in view. Journal of Statistical Planning and Inference, 138, 3590–3604.

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