Beyond tail median and conditional tail expectation: Extreme risk estimation using tail L p ‐optimization
Author:
Affiliation:
1. CNRS, IRMA, UMR 7501 Université de Strasbourg
2. Université Grenoble Alpes, Inria, CNRS, Grenoble INP, LJK 38000 Grenoble France
3. School of Mathematical Sciences University of Nottingham
Funder
Agence Nationale de la Recherche
Publisher
Wiley
Subject
Statistics, Probability and Uncertainty,Statistics and Probability
Link
https://onlinelibrary.wiley.com/doi/pdf/10.1111/sjos.12433
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1. On the coherence of expected shortfall
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3. Statistics of Extremes
4. Regular Variation
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