Several papers have recommended the Champernowne distribution to describe operational risklosses. This paper compares the tail performance of the Champernowne transformed kernel density estimator, the generalized Pareto distribution (gpd) and the g-and-h distribution. We introduce a new tail...

This paper introduces a multivariate density estimator for truncated and censored data with special emphasis on extreme values based on survival analysis. A local constant density estimator is considered. We extend this estimator by means of tail flattening transformation, dimension reducing...

We propose a nonparametric multiplicative bias corrected transformation estimator designed for heavy tailed data. The multiplicative correction is based on prior knowledge and has a dimension reducing effect at the same time as the original dimension of the estimation problem is retained. Adding...