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A robust estimator for the tail index of Pareto-type distributions
9 references·6 citing·37 second hop
A robust estimator for the tail index of Pareto-type distributions (2007)A robust estimator for the tail index of …Statistics of Extremes: Theory and Applications (2005)Statistics of Extremes: Theor…Statistics of Extremes: Theory and Applications (2004)Statistics of Extremes: Theor…Generalized Pareto Fit to the Society of Actuaries’ Large Claims Database (2003)Generalized Pareto Fit to the…Robust and Efficient Estimation of the Tail Index of a Single-Parameter Pareto Distribution (2000)Robust and Efficient Estimati…Tail Index Estimation and an Exponential Regression Model (1999)Tail Index Estimation and an …The qq-estimator and heavy tails (1996)The qq-estimator and heavy ta…Tail Index Estimation, Pareto Quantile Plots, and Regression Diagnostics (1996)Tail Index Estimation, Pareto…Tail Index Estimation, Pareto Quantile Plots Regression Diagnostics (1996)Tail Index Estimation, Pareto…Estimating Tails of Probability Distributions (1987)Estimating Tails of Probabili…The harmonic moment tail index estimator: asymptotic distribution and robustness (2013)The harmonic moment tail inde…Optimal risk transfer under quantile-based risk measurers (2013)Optimal risk transfer under q…On the favorable estimation for fitting heavy tailed data (2010)On the favorable estimation f…Robust fitting of claim severity distributions and the method of trimmed moments (2008)Robust fitting of claim sever…It's all in the data – consistent operational risk measurement and regulation (2007)It's all in the data – consis…Identifying multiple outliers in heavy-tailed distributions with an application to market crashes (2007)Identifying multiple outliers…Models for Exceedances Over High Thresholds (1990)Modelling of extremal events in insurance and finance (1994)Modelling Extremal Events (1997)How to make a Hill plot (2000)Extreme Value Theory and Statistics of Univariate Extremes: A Review (2014)Statistics of Extremes (2015)Kernel Estimates of the Tail Index of a Distribution (1985)On the Frequency of Large Stock Returns: Putting Booms and Busts into Perspective (1989)On the Frequency of Large Stock Returns: Putting Booms and Busts into Perspective (1991)Smoothing the Hill Estimator (1997)The New Introduction to Geographical Economics (2009)Power-law distributions in binned empirical data (2014)Residual Life Time at Great Age (1974)Non-life rate-making with Bayesian GAMs (2004)Composite Lognormal–Pareto model with random threshold (2010)Modeling claims data with composite Stoppa models (2015)On Some Simple Estimates of an Exponent of Regular Variation (1982)A Moment Estimator for the Index of an Extreme-Value Distribution (1989)“Asymptotically Unbiased” Estimators of the Tail Index Based on External Estimation of the Second Order Parameter (2002)Diagnostics for Dependence within Time Series Extremes (2003)The Asymptotic Theory of Extreme Order Statistics (1990)Extreme value theory and Value-at-Risk: Relative performance in emerging markets (2004)Value-at-Risk Prediction: A Comparison of Alternative Strategies (2005)An introduction to mathematical risk theory (1979)Practical analysis of extreme values (1996)Loss Models: From Data to Decisions (1999)Favorable Estimators for Fitting Pareto Models: A Study Using Goodness-of-fit Measures with Actual Data (2003)Extreme Value Theory : An Introduction (2006)Statistical Modeling of Spatial Extremes (2012)Tail Risk and Asset Prices (2014)Understanding Heterogeneity in Clinical Cohorts Using Normative Models: Beyond Case-Control Studies (2016)Quantitative models for operational risk: Extremes, dependence and aggregation (2006)On the tails of extreme event distributions in hydrology (2008)Power Laws in Economics and Finance (2008)Excess Functions and Estimation of the Extreme-Value Index (1996)Distribution and Dependence-Function Estimation for Bivariate Extreme-Value Distributions (2000)LEVY-STABLE DISTRIBUTIONS REVISITED: TAIL INDEX > 2 DOES NOT EXCLUDE THE LEVY-STABLE REGIME (2001)
this work references cited by second hop

References

  • 2004Statistics of Extremes: Theory and Applications1,093 cited
  • 1987Estimating Tails of Probability Distributions627 cited
  • 2005Statistics of Extremes: Theory and Applications501 cited
  • 1999Tail Index Estimation and an Exponential Regression Model275 cited
  • 1996Tail Index Estimation, Pareto Quantile Plots Regression Diagnostics223 cited
  • 1996The qq-estimator and heavy tails203 cited
  • 1996Tail Index Estimation, Pareto Quantile Plots, and Regression Diagnostics127 cited
  • 2003Generalized Pareto Fit to the Society of Actuaries’ Large Claims Database91 cited
  • 2000Robust and Efficient Estimation of the Tail Index of a Single-Parameter Pareto Distribution82 cited

Cited by

  • 2013The harmonic moment tail index estimator: asymptotic distribution and robustness72 cited
  • 2010On the favorable estimation for fitting heavy tailed data56 cited
  • 2013Optimal risk transfer under quantile-based risk measurers55 cited
  • 2008Robust fitting of claim severity distributions and the method of trimmed moments52 cited
  • 2007Identifying multiple outliers in heavy-tailed distributions with an application to market crashes34 cited
  • 2007It's all in the data – consistent operational risk measurement and regulation

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33 cited