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Liang Peng · Study
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Author
Liang Peng
21 works
· latest 2019
· 5 institutions
cluster: provisional
ORCID 0000-0002-2088-1904
Works
21 shown
Statistical Inference for Lee-Carter Mortality Model and Corresponding Forecasts
North American Actuarial Journal
·
2019
·
3 authors
19
citations
An efficient approach to quantile capital allocation and sensitivity analysis
Mathematical Finance
·
2019
·
4 authors
38
citations
Inference pitfalls in Lee–Carter model for forecasting mortality
Insurance Mathematics and Economics
·
2016
·
2 authors
25
citations
Bounds for the sum of dependent risks and worst Value-at-Risk with monotone marginal densities
Finance and Stochastics
·
2013
·
3 authors
128
citations
STATISTICAL INFERENCE FOR MULTIVARIATE RESIDUAL COPULA OF GARCH MODELS
·
2009
·
4 authors
40
citations
Semi‐Parametric Models for the Multivariate Tail Dependence Function – the Asymptotically Dependent Case
Scandinavian Journal of Statistics
·
2008
·
3 authors
57
citations
Empirical likelihood based confidence intervals for copulas
Journal of Multivariate Analysis
·
2008
·
3 authors
·
Open access
40
citations
Parametric tail copula estimation and model testing
Journal of Multivariate Analysis
·
2007
·
3 authors
·
Open access
37
citations
Estimating the tail dependence function of an elliptical distribution
Bernoulli
·
2007
·
3 authors
·
Open access
57
citations
Nonparametric estimation of the dependence function for a multivariate extreme value distribution
Journal of Multivariate Analysis
·
2006
·
3 authors
·
Open access
61
citations
Interval estimation of value-at-risk based on GARCH models with heavy-tailed innovations
Journal of Econometrics
·
2006
·
3 authors
101
citations
Least absolute deviations estimation for ARCH and GARCH models
Biometrika
·
2003
·
1 author
·
Open access
179
citations
Semi-parametric Estimation of the Second Order Parameter in Statistics of Extremes
Extremes
·
2002
·
3 authors
79
citations
Confidence Intervals for the Tail Index
Bernoulli
·
2001
·
2 authors
52
citations
Estimating the mean of a heavy tailed distribution
Statistics & Probability Letters
·
2001
·
1 author
62
citations
Using a Bootstrap Method to Choose the Sample Fraction in Tail Index Estimation
Journal of Multivariate Analysis
·
2001
·
4 authors
·
Open access
452
citations
A Bootstrap-based Method to Achieve Optimality in Estimating the Extreme-value Index
Extremes
·
1999
·
2 authors
·
Open access
120
citations
Estimation of the coefficient of tail dependence in bivariate extremes
Statistics & Probability Letters
·
1999
·
1 author
77
citations
Asymptotically unbiased estimators for the extreme-value index
Statistics & Probability Letters
·
1998
·
1 author
103
citations
Comparison of tail index estimators
Statistica Neerlandica
·
1998
·
2 authors
226
citations
Almost Sure Convergence in Extreme Value Theory
Mathematische Nachrichten
·
1998
·
3 authors
82
citations