Brazauskas, Vytaras; Upretee, Sahadeb - In: Risks 7 (2019) 2, 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...