Semi-parametric probability-weighted moments estimation revisited

Detalhes bibliográficos
Autor(a) principal: Caeiro, Frederico Almeida Gião Gonçalves
Data de Publicação: 2014
Outros Autores: Gomes, M. Ivette, Vandewalle, Bjorn
Tipo de documento: Artigo
Idioma: eng
Título da fonte: Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
Texto Completo: http://hdl.handle.net/10362/118351
Resumo: PEst-OE/MAT/UI0006/2011 PEst-OE/MAT/UI0297/2011
id RCAP_aa851f098a54b6523791865a3729e5fb
oai_identifier_str oai:run.unl.pt:10362/118351
network_acronym_str RCAP
network_name_str Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
repository_id_str 7160
spelling Semi-parametric probability-weighted moments estimation revisitedValue-at-risk or high quantilesHeavy tailsSemi-parametric estimationProbability of exceedance of a high levelHeavy tailsProbability of exceedance of a high levelSemi-parametric estimationValue-at-risk or high quantilesPEst-OE/MAT/UI0006/2011 PEst-OE/MAT/UI0297/2011In this paper, for heavy-tailed models and through the use of probability weighted moments based on the largest observations, we deal essentially with the semi-parametric estimation of the Value-at-Risk at a level p, the size of the loss occurred with a small probability p, as well as the dual problem of estimation of the probability of exceedance of a high level x. These estimation procedures depend crucially on the estimation of the extreme value index, the primary parameter in Statistics of Extremes, also done on the basis of the same weighted moments. Under regular variation conditions on the right-tail of the underlying distribution function F, we prove the consistency and asymptotic normality of the estimators under consideration in this paper, through the usual link of their asymptotic behaviour to the one of the extreme value index estimator they are based on. The performance of these estimators, for finite samples, is illustrated through Monte-Carlo simulations. An adaptive choice of thresholds is put forward. Applications to a real data set in the field of insurance as well as to simulated data are also provided.CMA - Centro de Matemática e AplicaçõesNOVA Information Management School (NOVA IMS)RUNCaeiro, Frederico Almeida Gião GonçalvesGomes, M. IvetteVandewalle, Bjorn2021-05-26T23:21:16Z2014-032014-03-01T00:00:00Zinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/articleapplication/pdfhttp://hdl.handle.net/10362/118351eng1387-5841PURE: 185187https://doi.org/10.1007/s11009-012-9295-6info:eu-repo/semantics/openAccessreponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãoinstacron:RCAAP2024-03-11T05:01:17Zoai:run.unl.pt:10362/118351Portal AgregadorONGhttps://www.rcaap.pt/oai/openaireopendoar:71602024-03-20T03:43:52.970496Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãofalse
dc.title.none.fl_str_mv Semi-parametric probability-weighted moments estimation revisited
title Semi-parametric probability-weighted moments estimation revisited
spellingShingle Semi-parametric probability-weighted moments estimation revisited
Caeiro, Frederico Almeida Gião Gonçalves
Value-at-risk or high quantiles
Heavy tails
Semi-parametric estimation
Probability of exceedance of a high level
Heavy tails
Probability of exceedance of a high level
Semi-parametric estimation
Value-at-risk or high quantiles
title_short Semi-parametric probability-weighted moments estimation revisited
title_full Semi-parametric probability-weighted moments estimation revisited
title_fullStr Semi-parametric probability-weighted moments estimation revisited
title_full_unstemmed Semi-parametric probability-weighted moments estimation revisited
title_sort Semi-parametric probability-weighted moments estimation revisited
author Caeiro, Frederico Almeida Gião Gonçalves
author_facet Caeiro, Frederico Almeida Gião Gonçalves
Gomes, M. Ivette
Vandewalle, Bjorn
author_role author
author2 Gomes, M. Ivette
Vandewalle, Bjorn
author2_role author
author
dc.contributor.none.fl_str_mv CMA - Centro de Matemática e Aplicações
NOVA Information Management School (NOVA IMS)
RUN
dc.contributor.author.fl_str_mv Caeiro, Frederico Almeida Gião Gonçalves
Gomes, M. Ivette
Vandewalle, Bjorn
dc.subject.por.fl_str_mv Value-at-risk or high quantiles
Heavy tails
Semi-parametric estimation
Probability of exceedance of a high level
Heavy tails
Probability of exceedance of a high level
Semi-parametric estimation
Value-at-risk or high quantiles
topic Value-at-risk or high quantiles
Heavy tails
Semi-parametric estimation
Probability of exceedance of a high level
Heavy tails
Probability of exceedance of a high level
Semi-parametric estimation
Value-at-risk or high quantiles
description PEst-OE/MAT/UI0006/2011 PEst-OE/MAT/UI0297/2011
publishDate 2014
dc.date.none.fl_str_mv 2014-03
2014-03-01T00:00:00Z
2021-05-26T23:21:16Z
dc.type.status.fl_str_mv info:eu-repo/semantics/publishedVersion
dc.type.driver.fl_str_mv info:eu-repo/semantics/article
format article
status_str publishedVersion
dc.identifier.uri.fl_str_mv http://hdl.handle.net/10362/118351
url http://hdl.handle.net/10362/118351
dc.language.iso.fl_str_mv eng
language eng
dc.relation.none.fl_str_mv 1387-5841
PURE: 185187
https://doi.org/10.1007/s11009-012-9295-6
dc.rights.driver.fl_str_mv info:eu-repo/semantics/openAccess
eu_rights_str_mv openAccess
dc.format.none.fl_str_mv application/pdf
dc.source.none.fl_str_mv reponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
instacron:RCAAP
instname_str Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
instacron_str RCAAP
institution RCAAP
reponame_str Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
collection Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
repository.name.fl_str_mv Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
repository.mail.fl_str_mv
_version_ 1799138047225233408

Registros relacionados