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 …

Value-at-Risk (VaR) has become the most important benchmark for measuring risk in portfolios of different types of … the sources of uncertainty stems from the dependence of the VaR estimation on the choice of the computation method. As we … nonparametric approach called maxitive kernel estimation of the VaR. This estimation is based on a coherent extension of the kernel …