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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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Testing the multivariate regular variation model
Einmahl, John H. J.; Yang, Fan; Chen Zhou - 2018
Persistent link: https://www.econbiz.de/10011920524
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Tail dependence and heavy tailedness in extreme risks
Ji, Liuyan; Ken Seng Tan; Yang, Fan - In: Insurance / Mathematics & economics 99 (2021), pp. 282-293
Persistent link: https://www.econbiz.de/10012649222
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Estimation of the Haezendonck-Goovaerts risk measure for extreme risks
Zhao, Yanchun; Mao, Tiantian; Yang, Fan - In: Scandinavian actuarial journal 2021 (2021) 7, pp. 599-622
Persistent link: https://www.econbiz.de/10012624637
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Testing the multivariate regular variation model
Einmahl, John H. J.; Yang, Fan; Chen Zhou - In: Journal of business & economic statistics : JBES ; a … 39 (2021) 4, pp. 907-919
Persistent link: https://www.econbiz.de/10012653202
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Tail expectile process and risk assessment
Daouia, Abdelaati; Girard, Stéphane; Stupfler, Gilles - 2018
Persistent link: https://www.econbiz.de/10013490908
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Tail expectile-VaR estimation in the semiparametric Generalized Pareto model
Abbas, Yasser; Daouia, Abdelaati; Nemouchi, Boutheina; … - 2025
Persistent link: https://www.econbiz.de/10015192022
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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
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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
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ExpectHill estimation, extreme risk and heavy tails
Daouia, Abdelaati; Girard, Stéphane; Stupfler, Gilles - In: Journal of econometrics 221 (2021) 1, pp. 97-117
Persistent link: https://www.econbiz.de/10012618802