Brazauskas, Vytaras; Upretee, Sahadeb - In: Risks : open access journal 7 (2019) 2/55, pp. 1-16
Quantiles of probability distributions play a central role in the definition of risk measures (e.g., value-at-risk …, conditional tail expectation) which in turn are used to capture the riskiness of the distribution tail. Estimates of risk measures … are needed in many practical situations such as in pricing of extreme events, developing reserve estimates, designing risk …
