Journal of Applied Probability
- J. Appl. Probab.
- Volume 48, Number 4 (2011), 968-983.
Scaling of high-quantile estimators
Enhanced by the global financial crisis, the discussion about an accurate estimation of regulatory (risk) capital a financial institution needs to hold in order to safeguard against unexpected losses has become highly relevant again. The presence of heavy tails in combination with small sample sizes turns estimation at such extreme quantile levels into an inherently difficult statistical issue. We discuss some of the problems and pitfalls that may arise. In particular, based on the framework of second-order extended regular variation, we compare different high-quantile estimators and propose methods for the improvement of standard methods by focusing on the concept of penultimate approximations.
J. Appl. Probab., Volume 48, Number 4 (2011), 968-983.
First available in Project Euclid: 16 December 2011
Permanent link to this document
Digital Object Identifier
Mathematical Reviews number (MathSciNet)
Zentralblatt MATH identifier
Primary: 60G70: Extreme value theory; extremal processes
Secondary: 62G32: Statistics of extreme values; tail inference
Degen, Matthias; Embrechts, Paul. Scaling of high-quantile estimators. J. Appl. Probab. 48 (2011), no. 4, 968--983. doi:10.1239/jap/1324046013. https://projecteuclid.org/euclid.jap/1324046013