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Beyond tail median and conditional tail expectation: Extreme risk estimation using tail L-p-optimization

Gardes, L; Girard, S; Stupfler, G

Stupfler, G (reprint author), Univ Nottingham, Sch Math Sci, Univ Pk Campus, Nottingham NG7 2RD, England.

SCANDINAVIAN JOURNAL OF STATISTICS, 0; ():

Abstract

The conditional tail expectation (CTE) is an indicator of tail behavior that takes into account both the frequency and magnitude of a tail event. Howe......

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