Improved estimator of the conditional tail expectation in the case of heavy-tailed losses

HIGHLIGHTS

• who: Distribution. and collaborators from the High School of Technology, Algiers, Algeria, University of Blida, Blida, Algeria have published the research: Improved Estimator of the Conditional Tail Expectation in the case of heavy-tailed losses, in the Journal: (JOURNAL)
• what: The authors propose an improved estimator of the conditional tail expectation (CT E ) based on the bias-reduced estimators of high quantile for heavy-tailed distributions. The authors use the bias-reduced estimator of the high quantile Q(1 - s), proposed by_[25] who exploited the censored maximum_likelihood (CML) based estimators u03b1 b and u03b2b . . .
  

   

  

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