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Assessing coherent value-at-risk and expected shortfall with extreme expectiles

Daouia, Abdelaati; Girard, Stéphane; Stupfler, Gilles - 2015

Persistent link: https://www.econbiz.de/10011302290

Extreme M-quantiles as risk measures : from L1 to Lp optimization

Daouia, Abdelaati; Girard, Stéphane; Stupfler, Gilles - 2017

Persistent link: https://www.econbiz.de/10012266461

Bias-reduced and variance-corrected asymptotic Gaussian Inference about extreme expectiles

Daouia, Abdelaati; Stupfler, Gilles; Usseglio-Carleve, … - 2023

Persistent link: https://www.econbiz.de/10014286699

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

Optimal pooling and distributed inference for the tail index and extreme quantiles

Daouia, Abdelaati; Padoan, Simone A.; Stupfler, Gilles - 2022

Persistent link: https://www.econbiz.de/10013170008

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

Reduced-bias estimator of the Proportional Hazard Premium for heavy-tailed distributions

Deme, El Hadji; Girard, Stéphane; Guillou, Armelle - In: Insurance: Mathematics and Economics 52 (2013) 3, pp. 550-559

Many different premium principles have been proposed in the literature. In this paper, we focus on the Proportional Hazard Premium. Its asymptotic normality has been established in the literature under suitable conditions which are not fulfilled in the case of heavy-tailed distributions. We thus...

Persistent link: https://www.econbiz.de/10010665830