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Favorable Estimators for Fitting Pareto Models: A Study Using Goodness-of-fit Measures with Actual Data
6 references·4 citing·33 second hop
Favorable Estimators for Fitting Pareto Models: A Study Using Goodness-of-fit Measures with Actual Data (2003)Favorable Estimators for Fitting Pareto M…Robust and Efficient Estimation of the Tail Index of a Single-Parameter Pareto Distribution (2000)Robust and Efficient Estimati…Loss Models: From Data to Decisions (1999)Loss Models: From Data to Dec…Practical analysis of extreme values (1997)Practical analysis of extreme…Practical analysis of extreme values (1996)Practical analysis of extreme…Estimation in the Pareto Distribution (1990)Estimation in the Pareto Dist…Loss Distributions (1984)Loss DistributionsModeling Severity and Measuring Tail Risk of Norwegian Fire Claims (2015)Modeling Severity and Measuri…Optimal risk transfer under quantile-based risk measurers (2013)Optimal risk transfer under q…New Goodness-of-Fit Tests for Pareto Distributions (2009)New Goodness-of-Fit Tests for…Robust fitting of claim severity distributions and the method of trimmed moments (2008)Robust fitting of claim sever…Statistical Size Distributions in Economics and Actuarial Sciences (2003)A robust estimator for the tail index of Pareto-type distributions (2007)Robust and efficient fitting of the generalized Pareto distribution with actuarial applications in view (2009)Folded and log-folded-tdistributions as models for insurance loss data (2010)Credibility theory based on trimming (2013)An introduction to mathematical risk theory (1979)On the favorable estimation for fitting heavy tailed data (2010)The harmonic moment tail index estimator: asymptotic distribution and robustness (2013)Mathematical Methods in Risk Theory (1970)Mathematical Methods in Risk Theory. (1971)Estimating the tail index (1998)Modeling Uncertainty in Climate Change: A Multi-Model Comparison (2015)How Fat is the Top Tail of the Wealth Distribution? (2017)Uncertainty and The Welfare Economics of Medical Care (2001)On the coherence of expected shortfall (2002)UNCERTAINTY AND THE WELFARE ECONOMICS OF MEDICAL CARE (2003)Optimal reinsurance with regulatory initial capital and default risk (2014)A reinsurance game between two insurance companies with nonlinear risk processes (2015)Optimal reinsurance with expectile (2015)Quantitative Risk Management: Concepts, Techniques, and Tools (2005)Quantitative Risk Management: Concepts, Techniques, and Tools (2006)“Understanding Relationships Using Copulas,” by Edward Frees and Emiliano Valdez, January 1998 (1998)Market Fluctuations I: Scaling, Multiscaling, and Their Possible Origins (2002)The Tail Probability of Discounted Sums of Pareto-like Losses in Insurance (2005)Stochastic Behavioral Asset-Pricing Models and the Stylized Facts (2009)A comprehensive review of Value at Risk methodologies (2013)Extreme Value Theory and Statistics of Univariate Extremes: A Review (2014)Understanding Relationships Using Copulas (1998)A Class of Distortion Operators for Pricing Financial and Insurance Risks (2000)Actuarial Theory for Dependent Risks: Measures, Orders and Models (2005)A synthesis of risk measures for capital adequacy (1999)Application of Coherent Risk Measures to Capital Requirements in Insurance (1999)Common Poisson Shock Models: Applications to Insurance and Credit Risk Modelling (2003)
this work references cited by second hop

References

  • 1999Loss Models: From Data to Decisions1,232 cited
  • 1984Loss Distributions245 cited
  • 1996Practical analysis of extreme values214 cited
  • 1997Practical analysis of extreme values178 cited
  • 1990Estimation in the Pareto Distribution127 cited
  • 2000Robust and Efficient Estimation of the Tail Index of a Single-Parameter Pareto Distribution82 cited

Cited by

  • 2009New Goodness-of-Fit Tests for Pareto Distributions55 cited
  • 2013Optimal risk transfer under quantile-based risk measurers55 cited
  • 2015Modeling Severity and Measuring Tail Risk of Norwegian Fire Claims53 cited
  • 2008Robust fitting of claim severity distributions and the method of trimmed moments52 cited

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