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Ausreißer
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Outliers
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Statistical distribution
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22
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Guillou, Armelle
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Insurance / Mathematics & economics
IMF Working Papers
104
Discussion paper / Center for Economic Research, Tilburg University
21
Applied economics
20
Risks : open access journal
18
Discussion paper / Tinbergen Institute
17
Economic modelling
16
Journal of econometrics
15
Journal of banking & finance
14
MPRA Paper
14
Technical Report
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Technical Reports / Institut für Wirtschafts- und Sozialstatistik, Universität Dortmund
14
International journal of forecasting
12
International review of financial analysis
11
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
11
Journal of empirical finance
11
The journal of operational risk
11
Working papers / TSE : WP
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Economics letters
10
Finance research letters
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Technical report / Sonderforschungsbereich 475 Komplexitätsreduktion in Multivariaten Datenstrukturen, Universität Dortmund
10
European journal of operational research : EJOR
9
IMF Staff Country Reports
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Journal of risk
9
Annals of the Institute of Statistical Mathematics
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DNB working paper
8
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Journal of international financial markets, institutions & money
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The North American journal of economics and finance : a journal of financial economics studies
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Applied economics letters
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Econometric Institute Report
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Econometric Institute Research Papers
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International review of economics & finance : IREF
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Journal of Applied Statistics
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ECONIS (ZBW)
33
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1
Statistical inference for extreme extremile in heavy-tailed heteroscedastic regression model
Chen, Yu
;
Ma, Mengyuan
;
Sun, Hongfang
- In:
Insurance / Mathematics & economics
111
(
2023
),
pp. 142-162
Persistent link: https://www.econbiz.de/10014317142
Saved in:
2
Penalized quasi-likelihood estimation of generalized Pareto regression : consistent identification of risk factors for extreme losses
Meng, Jin
;
Chan, Kung-sik
- In:
Insurance / Mathematics & economics
104
(
2022
),
pp. 60-75
Persistent link: https://www.econbiz.de/10013264936
Saved in:
3
A two-stage model for high-risk prediction in insurance ratemaking : asymptotics and inference
Hou, Yanxi
- In:
Insurance / Mathematics & economics
104
(
2022
),
pp. 283-301
Persistent link: https://www.econbiz.de/10013264958
Saved in:
4
Statistical inference for tail-based cumulative residual entropy
Sun, Hongfang
;
Chen, Yu
;
Hu, Taizhong
- In:
Insurance / Mathematics & economics
103
(
2022
),
pp. 66-95
Persistent link: https://www.econbiz.de/10013198327
Saved in:
5
Extreme-value based estimation of the conditional tail moment with application to reinsurance rating
Goegebeur, Yuri
;
Guillou, Armelle
;
Pedersen, Tine
;
Qin, Jing
- In:
Insurance / Mathematics & economics
107
(
2022
),
pp. 102-122
Persistent link: https://www.econbiz.de/10013471190
Saved in:
6
Extreme value estimation of the conditional risk premium in reinsurance
Goegebeur, Yuri
;
Guillou, Armelle
;
Qin, Jing
- In:
Insurance / Mathematics & economics
96
(
2021
),
pp. 68-80
Persistent link: https://www.econbiz.de/10012482751
Saved in:
7
Tail dependence and heavy tailedness in extreme risks
Ji, Liuyan
;
Tan, Ken Seng
;
Yang, Fan
- In:
Insurance / Mathematics & economics
99
(
2021
),
pp. 282-293
Persistent link: https://www.econbiz.de/10012649222
Saved in:
8
Distributionally robust inference for extreme Value-at-Risk
Yuen, Robert
;
Stoev, Stilian
;
Cooley, Daniel
- In:
Insurance / Mathematics & economics
92
(
2020
),
pp. 70-89
Persistent link: https://www.econbiz.de/10012242040
Saved in:
9
Modelling life tables with advanced ages : an extreme value theory approach
Huang, Fei
;
Maller, Ross A.
;
Ning, Xu
- In:
Insurance / Mathematics & economics
93
(
2020
),
pp. 95-115
Persistent link: https://www.econbiz.de/10012294066
Saved in:
10
Nonparametric inference for distortion risk measures on tail regions
Hou, Yanxi
;
Wang, Xing
- In:
Insurance / Mathematics & economics
89
(
2019
),
pp. 92-110
Persistent link: https://www.econbiz.de/10012133516
Saved in:
11
Severity modeling of extreme insurance claims for tariffication
Laudagé, Christian
;
Desmettre, Sascha
;
Wenzel, Jörg
- In:
Insurance / Mathematics & economics
88
(
2019
),
pp. 77-92
Persistent link: https://www.econbiz.de/10012105364
Saved in:
12
Model-free bounds on Value-at-Risk using extreme value information and statistical distances
Lux, Thibaut
;
Papapantoleon, Antonis
- In:
Insurance / Mathematics & economics
86
(
2019
),
pp. 73-83
Persistent link: https://www.econbiz.de/10012058825
Saved in:
13
Penalized bias reduction in extreme value estimation for censored Pareto-type data, and long-tailed insurance applications
Beirlant, Jan
;
Maribe, G.
;
Verster, A.
- In:
Insurance / Mathematics & economics
78
(
2018
),
pp. 114-122
Persistent link: https://www.econbiz.de/10011825241
Saved in:
14
Extreme quantile estimation for β-mixing time series and applications
Chavez-Demoulin, Valérie
;
Guillou, Armelle
- In:
Insurance / Mathematics & economics
83
(
2018
),
pp. 59-74
Persistent link: https://www.econbiz.de/10011944097
Saved in:
15
A multivariate tail covariance measure for elliptical distributions
Landsman, Zinoviy
;
Makov, Udi
;
Shushi, Tomer
- In:
Insurance / Mathematics & economics
81
(
2018
),
pp. 27-35
Persistent link: https://www.econbiz.de/10011904613
Saved in:
16
Modelling censored losses using splicing : a global fit strategy with mixed Erlang and extreme value distributions
Reynkens, Tom
;
Verbelen, Roel
;
Beirlant, Jan
;
Antonio, …
- In:
Insurance / Mathematics & economics
77
(
2017
),
pp. 65-77
Persistent link: https://www.econbiz.de/10011783900
Saved in:
17
Tail subadditivity of distortion risk measures and multivariate tail distortion risk measures
Cai, Jun
;
Wang, Ying
;
Mao, Tiantian
- In:
Insurance / Mathematics & economics
75
(
2017
),
pp. 105-116
Persistent link: https://www.econbiz.de/10011740761
Saved in:
18
On a bivariate copula with both upper and lower full-range tail dependence
Hua, Lei
- In:
Insurance / Mathematics & economics
73
(
2017
),
pp. 94-104
Persistent link: https://www.econbiz.de/10011702049
Saved in:
19
Tail dependence of the Gaussian copula revisited
Furman, Edward
;
Kuznetsov, Alexey
;
Su, Jianxi
;
Zitikis, …
- In:
Insurance / Mathematics & economics
69
(
2016
),
pp. 97-103
Persistent link: https://www.econbiz.de/10011530927
Saved in:
20
Tail asymptotics of generalized deflated risks with insurance applications
Ling, Chengxiu
;
Peng, Zuoxiang
- In:
Insurance / Mathematics & economics
71
(
2016
),
pp. 220-231
Persistent link: https://www.econbiz.de/10011630653
Saved in:
21
Extremes for coherent risk measures
Asimit, Alexandru
;
Li, Jinzhu
- In:
Insurance / Mathematics & economics
71
(
2016
),
pp. 332-341
Persistent link: https://www.econbiz.de/10011630863
Saved in:
22
Estimating the distortion parameter of the proportional hazards premium for heavy-tailed losses under Lévy-stable regime
Brahimi, Brahim
;
Abdelli, Jihane
- In:
Insurance / Mathematics & economics
70
(
2016
),
pp. 135-143
Persistent link: https://www.econbiz.de/10011597203
Saved in:
23
Interval estimation for a measure of tail dependence
Liu, Aiai
;
Hou, Yanxi
;
Peng, Liang
- In:
Insurance / Mathematics & economics
64
(
2015
),
pp. 294-305
Persistent link: https://www.econbiz.de/10011398079
Saved in:
24
Asymptotic results for conditional measures of association of a random sum
Asimit, Alexandru V.
;
Chen, Yiqing
- In:
Insurance / Mathematics & economics
60
(
2015
),
pp. 11-18
Persistent link: https://www.econbiz.de/10010484845
Saved in:
25
Estimating the tails of loss severity via conditional risk measures for the family of symmetric generalised hyperbolic distributions
Ignatieva, Ekaterina
;
Landsman, Zinoviy
- In:
Insurance / Mathematics & economics
65
(
2015
),
pp. 172-186
Persistent link: https://www.econbiz.de/10011428649
Saved in:
26
Quantifying the risk using copulae with nonparametric marginals
Bolancé, Catalina
;
Bahroui, Zuhair
;
Artís Ortuño, Manuel
- In:
Insurance / Mathematics & economics
58
(
2014
),
pp. 46-56
Persistent link: https://www.econbiz.de/10010437637
Saved in:
27
Distorted mix method for constructing copulas with tail dependence
Li, Lujun
;
Yuen, K. C.
;
Yang, Jingping
- In:
Insurance / Mathematics & economics
57
(
2014
),
pp. 77-89
Persistent link: https://www.econbiz.de/10010402723
Saved in:
28
Robust and bias-corrected estimation of the coefficient of tail dependence
Dutang, Christophe
;
Goegebeur, Yuri
;
Guillou, Armelle
- In:
Insurance / Mathematics & economics
57
(
2014
),
pp. 46-57
Persistent link: https://www.econbiz.de/10010402739
Saved in:
29
Extreme value analysis of the Haezendonck-Goovaerts risk measure with a general Young function
Tang, Qihe
;
Yang, Fan
- In:
Insurance / Mathematics & economics
59
(
2014
),
pp. 311-320
Persistent link: https://www.econbiz.de/10010469980
Saved in:
30
On the Haezendonck-Goovaerts risk measure for extreme risks
Tang, Qihe
;
Fan, Yang
- In:
Insurance / Mathematics & economics
50
(
2012
)
1
,
pp. 217-227
Persistent link: https://www.econbiz.de/10009501684
Saved in:
31
Extreme value behavior of aggregate dependent risks
Chen, Die
;
Mao, Tiantian
;
Pan, Xiaoqing
;
Hu, Taizhong
- In:
Insurance / Mathematics & economics
50
(
2012
)
1
,
pp. 99-108
Persistent link: https://www.econbiz.de/10009501695
Saved in:
32
Second-order properties of the Haezendonck-Goovaerts risk measure for extreme risks
Mao, Tiantian
;
Hu, Taizhong
- In:
Insurance / Mathematics & economics
51
(
2012
)
2
,
pp. 333-343
Persistent link: https://www.econbiz.de/10009669603
Saved in:
33
Longevity bond premiums : the extreme value approach and risk cubic pricing
Chen, Hua
;
Cummins, John David
- In:
Insurance / Mathematics & economics
46
(
2010
)
1
,
pp. 150-161
Persistent link: https://www.econbiz.de/10003953327
Saved in:
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