Fast, Accurate, Straightforward Extreme Quantiles of Compound Loss Distributions
نویسندگان
چکیده
منابع مشابه
Estimation of extreme quantiles from heavy and light tailed distributions
In [18], a new family of distributions is introduced, depending on two parameters τ and θ, which encompasses Pareto-type distributions as well as Weibull tail-distributions. Estimators for θ and extreme quantiles are also proposed, but they both depend on the unknown parameter τ , making them useless in practical situations. In this paper, we propose an estimator of τ which is independent of θ....
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ژورنال
عنوان ژورنال: SSRN Electronic Journal
سال: 2016
ISSN: 1556-5068
DOI: 10.2139/ssrn.2850699