Kernel-type estimator of the conditional tail expectation for a heavy-tailed distribution
Abdelaziz Rassoul
| Year of publication: |
2013
|
|---|---|
| Authors: | Rassoul, Abdelaziz |
| Published in: |
Insurance / Mathematics & economics. - Amsterdam : Elsevier, ISSN 0167-6687, ZDB-ID 8864-X. - Vol. 53.2013, 3, p. 698-703
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| Subject: | Risk measure | CTE | Heavy tails | Kernel | Hill estimator | Extreme quantile | Reduced bias | Schätztheorie | Estimation theory | Statistische Verteilung | Statistical distribution | Risikomaß | Schätzung | Estimation | Systematischer Fehler | Bias | Ausreißer | Outliers | Risiko | Risk |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10010227902