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Several recent papers treated robust and efficient estimation of tail index parameters for (equivalent) Pareto and …
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For estimating the shape parameter of Paretian excess claims, certainBayesian estimators, which are closely related to the Hill estimator, have been suggested in the insurance literature...
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We consider the modelling of rare events in financial time series,and introduce a marked point process model for the excesses of thetime series over a high threshold that combines a self-exciting processfor the exceedances with a mark (size) dependent process. This allowsrealistic models for...
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distribution termed the \double Pareto," which allows the thickness of the tails and theexistence of moments to be determined …
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