Economic problems such as large claims analysis in insurance and value-at-risk in finance, require assessment of the probability P of extreme realizations Q: This paper provides a semi-parametric method for estimation of extreme #P;Q# combinations for data with heavy tails. We solve the long standing problem of estimating the sample threshold of where the tail of the distribution starts. This is accomplished by the combination of a control variate type device and a subsample bootstrap technique. The subsample bootstrap attains convergence in probability, whereas the full sample bootstrap would only provide convergence in distribution. This permits a complete and comprehensive treatment of extreme #P;Q# estimation. Keywords: Extreme value theory, tail estimation, risk analysis # Corresponding author: C. G. de Vries, Tinbergen Institute, P.O. Box 1738, 3000 DR Rotterdam, The Netherlands, e-mail cdevries@few.eur.nl. Danielsson's e-mail is jond@hi.is. This and related papers can be downl...
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