Composite bias‐reduced Lp‐quantile‐based estimators of extreme quantiles and expectiles
Author:
Affiliation:
1. Department of Statistics, Univ Rennes, Ensai, CNRS CREST ‐ UMR 9194, F‐35000 Rennes France
2. Department of Statistics and Business Intelligence, Avignon Université LMA EA 2151, 84000 Avignon France
Funder
Agence Nationale de la Recherche
AXA Research Fund
Publisher
Wiley
Subject
Statistics, Probability and Uncertainty,Statistics and Probability
Link
https://onlinelibrary.wiley.com/doi/pdf/10.1002/cjs.11703
Reference32 articles.
1. National Bureau of Standards Applied Mathematics Series No 55;Abramowitz M.,1972
2. Signs of dependence and heavy tails in non-life insurance data
3. Coherent Measures of Risk
4. Statistics of Extremes
5. Generalized quantiles as risk measures
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