Estimation of tail risk based on extreme expectiles
Author:
Affiliation:
1. University of Toulouse Capitole; France
2. Inria Grenoble Rhône-Alpes and Laboratoire Jean Kuntzmann; Grenoble France
3. Aix Marseille Université; Marseille France
4. University of Nottingham; UK
Funder
Toulouse School of Economics
Publisher
Wiley
Subject
Statistics, Probability and Uncertainty,Statistics and Probability
Link
http://onlinelibrary.wiley.com/wol1/doi/10.1111/rssb.12254/fullpdf
Reference47 articles.
1. Relating quantiles and expectiles under weighted-symmetry;Abdous;Ann. Inst. Statist. Math.,1995
2. Acharya , V. V. Pedersen , L. H. Philippon , T. Richardson , M. 2012 Measuring systemic risk Discussion Paper DP8824
3. Signs of dependence and heavy tails in non-life insurance data;Alm;Scand. Act. J.,2016
4. Statistics of Extremes
5. Isotonicity results for generalized quantiles;Bellini;Statist. Probab. Lett.,2012
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