Beyond tail median and conditional tail expectation: extreme risk estimation using tail l − optimisation

HIGHLIGHTS

• who: Conditional Tail Expectation and colleagues from the Université de Strasbourg and CNRS, IRMA, UMR, rue René Descartes, Strasbourg , France School of Mathematical Sciences, University of Nottingham have published the research: Beyond tail median and conditional tail expectation: extreme risk estimation using tail L − optimisation, in the Journal: (JOURNAL)
• what: In heavy-tailed models, which are of interest in insurance/finance and that will be the focus of this paper, such moment restrictions can be essentially reformulated in terms of a condition on the tail index γ of X. As far as the estimation of mp . . .
  

   

  

  If you want to have access to all the content you need to log in!

  Thanks :)

  Username or E-mail:

  If you don't have an account, you can create one here.