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On the tail index of a heavy tailed distribution
Annals of the Institute of Statistical Mathematics, 2008zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Yongcheng Qi, Qi Yongcheng
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A Heuristic Procedure to Estimate the Tail Index
2014 14th International Conference on Computational Science and Its Applications, 2014The estimation of the tail index is a very important issue within extreme value theory. Semi-parametric estimators usually require the choice of the number k of upper order statistics to use in the estimation, which is a difficult problem to handle. Here it is applied a heuristic graphical method to well-known semi-parametric tail index estimators and ...
Marta Ferreira
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Asymptotic Expansions of Estimators for the Tail Index with Applications
Scandinavian Journal of Statistics, 1998We present asymptotic expansions for two well‐known estimators of the tail index of a distribution—the Hill's estimator and the simplified Pickands' estimator. We then use the expansions to get more accurate interval estimates. Comparisons between the two estimators are also discussed.
Shihong Cheng, Jiazhu Pan
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On the tail index inference for heavy-tailed GARCH-type innovations
Annals of the Institute of Statistical Mathematics, 2014zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Kim, Moosup, Lee, Sangyeol
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Local-maximum-based tail index estimator*
Lithuanian Mathematical Journal, 2014zbMATH Open Web Interface contents unavailable due to conflicting licenses.
M. Vaičiulis
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Empirical likelihood based inference for conditional Pareto-type tail index
Statistics and Probability Letters, 2018Yuexiang Jiang
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Tail index varying coefficient model
Communications in Statistics - Theory and Methods, 2019Yuexiang Jiang
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Tail index partition-based rules extraction with application to tornado damage insurance
ASTIN Bulletin: The Journal of the International Actuarial Association, 2023The tail index is an important parameter that measures how extreme events occur. In many practical cases, this tail index depends on covariates. In this paper,we assume that it takes a finite number of values over a partition of the covariate space. This
Arthur Maillart, C. Robert
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Location invariant heavy tail index estimation with block method
Statistics (Berlin), 2022Motivated by the work of Qi [On the tail index of a heavy tailed distribution. Ann Inst Stat Math. 2010;62:277–298] and Fraga Alves [A location invariant Hill-type estimator. Extremes.
Shuang Hu, Zuoxiang Peng, S. Nadarajah
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Tail index-linked annuity: A longevity risk sharing retirement plan
Scandinavian Actuarial Journal, 2021This paper proposes an innovative retirement product focusing on longevity risk sharing, a contract we refer to as tail index-linked annuity (TILA).
A. Chen, Hong Li, M. Schultze
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