Non-parametric Estimation of Extreme Risk Measures from Conditional Heavy-tailed Distributions
نویسندگان
چکیده
منابع مشابه
Non-parametric estimation of extreme risk measures from conditional heavy-tailed distributions
In this paper, we introduce a new risk measure, the so-called Conditional Tail Moment. It is de-fined as the moment of order a ≥ 0 of the loss distribution above the upper α-quantile whereα ∈ (0, 1). Estimating the Conditional Tail Moment permits to estimate all risk measuresbased on conditional moments such as Conditional Tail Expectation, Conditional Value-at-Risk or Condi...
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ژورنال
عنوان ژورنال: Scandinavian Journal of Statistics
سال: 2014
ISSN: 0303-6898
DOI: 10.1111/sjos.12078