Kernel-type estimator of the conditional tail expectation for a heavy-tailed distribution
Year of publication: |
2013
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Authors: | Rassoul, Abdelaziz |
Published in: |
Insurance / Mathematics & economics. - Amsterdam : Elsevier, ISSN 0167-6687, ZDB-ID 8864-X. - Vol. 53.2013, 3, p. 698-703
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Subject: | Risk measure | CTE | Heavy tails | Kernel | Hill estimator | Extreme quantile | Reduced bias | Statistische Verteilung | Statistical distribution | Risikomaß | Schätztheorie | Estimation theory | Messung | Measurement | Systematischer Fehler | Bias | Schätzung | Estimation |
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