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Beta kernel quantile estimators of heavy-tailed loss distributions
16 references·2 citing·40 second hop
Beta kernel quantile estimators of heavy-tailed loss distributions (2009)Beta kernel quantile estimators of heavy-…The estimation of copulas : theory and practice (2007)The estimation of copulas : t…Quantitative Risk Management: Concepts, Techniques, and Tools (2006)Quantitative Risk Management:…Quantitative Risk Management: Concepts, Techniques, and Tools (2005)Quantitative Risk Management:…Nonparametric Inference of Value-at-Risk for Dependent Financial Returns (2005)Nonparametric Inference of Va…Kernel density estimation for heavy-tailed distributions using the champernowne transformation (2005)Kernel density estimation for…Extreme value theory and Value-at-Risk: Relative performance in emerging markets (2004)Extreme value theory and Valu…Value at Risk (2001)Value at RiskUsing a Bootstrap Method to Choose the Sample Fraction in Tail Index Estimation (2001)Using a Bootstrap Method to C…Sensitivity analysis of Values at Risk (2000)Sensitivity analysis of Value…Arbitrage Theory in Continuous Time (1998)Arbitrage Theory in Continuou…Modelling Extremal Events (1997)Modelling Extremal EventsEstimating the Tails of Loss Severity Distributions Using Extreme Value Theory (1997)Estimating the Tails of Loss …Premium Calculation by Transforming the Layer Premium Density (1996)Premium Calculation by Transf…Insurance pricing and increased limits ratemaking by proportional hazards transforms (1995)Insurance pricing and increas…Modelling of extremal events in insurance and finance (1994)Modelling of extremal events …The Graduation of Income Distributions (1952)The Graduation of Income Dist…Log-Transform Kernel Density Estimation of Income Distribution (2016)Log-Transform Kernel Density …On 1/f Noise (2012)On 1/f NoiseThe Pricing of Options and Corporate Liabilities (1973)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)A Theory of the Term Structure of Interest Rates (1985)On modelling and pricing weather derivatives (2002)A numerical scheme for BSDEs (2004)Pricing in Electricity Markets: A Mean Reverting Jump Diffusion Model with Seasonality (2005)The Variation of Certain Speculative Prices (1963)The Behavior of Stock-Market Prices (1965)Conditional value-at-risk for general loss distributions (2002)Brownian Motion and Stochastic Calculus (2007)Top Incomes in the Long Run of History (2011)An Introduction to Copulas (1999)Coherent Measures of Risk (1999)Correlation and Dependence in Risk Management: Properties and Pitfalls (2002)Pair-copula constructions of multiple dependence (2007)Quantitative Risk Management (2011)Multivariate Archimax copulas (2014)On Some Simple Estimates of an Exponent of Regular Variation (1982)On the Frequency of Large Stock Returns: Putting Booms and Busts into Perspective (1991)ARCH modeling in finance (1992)An Application of Extreme Value Theory for Measuring Financial Risk (2006)Back to the basics in banking? A micro-analysis of banking system stability (2009)Statistical Size Distributions in Economics and Actuarial Sciences (2003)Income distribution and inequality measurement: The problem of extreme values (2007)Le Comportement de l'Homme Rationnel devant le Risque: Critique des Postulats et Axiomes de l'Ecole Americaine (1953)A theory of anticipated utility (1982)The Dual Theory of Choice under Risk (1987)Understanding Relationships Using Copulas (1998)Stochastic Processes for Insurance & Finance (1999)Spectral measures of risk: A coherent representation of subjective risk aversion (2002)Models for Exceedances Over High Thresholds (1990)Extreme Value Theory as a Risk Management Tool (1999)Estimation of tail-related risk measures for heteroscedastic financial time series: an extreme value approach (2000)Empirical properties of asset returns: stylized facts and statistical issues (2001)Maximum-Likelihood Estimation (2017)Basel Committee On Banking Supervision (2010)A critical review on supply chain risk – Definition, measure and modeling (2014)Risk Assessment for Banking Systems (2006)Introductory Econometrics for Finance (2008)ESG Shareholder Engagement and Downside Risk (2016)
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References

  • 1997Modelling Extremal Events4,397 cited
  • 1994Modelling of extremal events in insurance and finance3,574 cited
  • 2005Quantitative Risk Management: Concepts, Techniques, and Tools2,208 cited
  • 2006Quantitative Risk Management: Concepts, Techniques, and Tools2,014 cited
  • 1998Arbitrage Theory in Continuous Time1,267 cited
  • 2001Value at Risk853 cited
  • 1996Premium Calculation by Transforming the Layer Premium Density696 cited
  • 1997Estimating the Tails of Loss Severity Distributions Using Extreme Value Theory543 cited
  • 2001Using a Bootstrap Method to Choose the Sample Fraction in Tail Index Estimation452 cited
  • 2004Extreme value theory and Value-at-Risk: Relative performance in emerging markets420 cited
  • 2000Sensitivity analysis of Values at Risk400 cited
  • 1995Insurance pricing and increased limits ratemaking by proportional hazards transforms338 cited
  • 1952The Graduation of Income Distributions192 cited
  • 2005Nonparametric Inference of Value-at-Risk for Dependent Financial Returns148 cited
  • 2005Kernel density estimation for heavy-tailed distributions using the champernowne transformation140 cited

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  • 2007The estimation of copulas : theory and practice118 cited
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    • 2016Log-Transform Kernel Density Estimation of Income Distribution907 cited
    • 2012On 1/f Noise51 cited