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Asymptotic properties of generalized shortfall risk measures for heavy-tailed risks
Mao, Tiantian; Stupfler, Gilles; Yang, Fan - In: Insurance / Mathematics & economics 111 (2023), pp. 173-192
Persistent link: https://www.econbiz.de/10014317144
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Extreme expectile estimation for short-tailed data
Daouia, Abdelaati; Padoan, Simone A.; Stupfler, Gilles - In: Journal of econometrics 241 (2024) 2, pp. 1-18
Persistent link: https://www.econbiz.de/10015075192
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Extreme expectile estimation for short-tailed data, with an application to market risk assessment
Daouia, Abdelaati; Padoan, Simone A.; Stupfler, Gilles - 2023
Persistent link: https://www.econbiz.de/10014227990
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A [Gamma]-moment approach to monotonic boundary estimation
Daouia, Abdelaati; Girard, Stéphane; Guillou, Armelle - In: Journal of econometrics 178 (2014) 2, pp. 727-740
Persistent link: https://www.econbiz.de/10010257677
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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