Estimating extreme tail risk measures with generalized Pareto distribution
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DOI: 10.1016/j.csda.2015.12.008
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- B. John Manistre & Geoffrey Hancock, 2005. "Variance of the CTE Estimator," North American Actuarial Journal, Taylor & Francis Journals, vol. 9(2), pages 129-156.
- Ahn, Soohan & Kim, Joseph H.T. & Ramaswami, Vaidyanathan, 2012. "A new class of models for heavy tailed distributions in finance and insurance risk," Insurance: Mathematics and Economics, Elsevier, vol. 51(1), pages 43-52.
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- Song, Jongwoo & Song, Seongjoo, 2012. "A quantile estimation for massive data with generalized Pareto distribution," Computational Statistics & Data Analysis, Elsevier, vol. 56(1), pages 143-150, January.
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- Xu Zhao & Zhongxian Zhang & Weihu Cheng & Pengyue Zhang, 2019. "A New Parameter Estimator for the Generalized Pareto Distribution under the Peaks over Threshold Framework," Mathematics, MDPI, vol. 7(5), pages 1-18, May.
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Keywords
Generalized Pareto distribution; Value-at-Risk (VaR); Conditional Tail Expectation (CTE); Tail VaR; Peaks over threshold (POT); Weighted nonlinear least squares;All these keywords.
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