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Coupled risk measures and their empirical estimation when losses follow heavy-tailed distributions
Risk measure Heavy-tailed distribution Distortion risk measure Weighted risk measure Proportional hazards transform Conditional tail expectation Premium calculation principle Index of economic inequality Statistical inference
2011/6/20
Considerable literature has been devoted to developing statistical
inferential results for risk measures, especially for those that are
of the form of L-functionals. However, practical and theoretic...
A class of unbiased location invariant Hill-type estimators for heavy tailed distributions
Asymptotic normality Location invariant Hilltype heavy tailed index estimator Second order regular variation
2009/9/16
Based on the methods provided in Caeiro and Gomes (2002) and Fraga Alves (2001), a new class of location invariant Hill-type estimators is derived in this paper. Its asymptotic distributional represen...
Second-order refined peaks-over-threshold modelling for heavy-tailed distributions
bias reduction Hill estimator extended Pareto distribution extremevalue index heavy tails regular variation
2010/3/17
Modelling excesses over a high threshold using the Pareto or generalized Pareto
distribution (PD/GPD) is the most popular approach in extreme value statistics.
This method typically requires high th...
Characterizations on Heavy-tailed Distributions by Means of Hazard Rate
equilibrium distribution hazard rate
2007/12/10
Let F(x) be a distribution function supported on [0,∞), with an equilibrium distribution function F_e(x). In this paper we shall study the function r_e(x) = (-ln F-bar e(x))' = F-bar(x)/∫_x~∞ F-bar (u...
Modeling macroeconomic time series via heavy tailed distributions
seasonal adjustment outliers model selection t-distribution economictime series
2010/4/27
It has been shown that some macroeconomic time series, especially
those where outliers could be present, can be well modelled using heavy tailed
distributions for the noise components. Methods for d...