Improved estimators of extreme Wang distortion risk measures for very heavy-tailed distributions
A general way to study the extremes of a random variable is to consider the family of its Wang distortion risk measures. This class of risk measures encompasses several indicators such as the classical quantile/Value-at-Risk, the Tail-Value-at-Risk and Conditional Tail Moments. Trimmed and winsorise...
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| Format: | Article |
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Elsevier
2018
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| Online Access: | https://eprints.nottingham.ac.uk/41195/ |