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December 2011 Scaling of high-quantile estimators
Matthias Degen, Paul Embrechts
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J. Appl. Probab. 48(4): 968-983 (December 2011). DOI: 10.1239/jap/1324046013

Abstract

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.

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Matthias Degen. Paul Embrechts. "Scaling of high-quantile estimators." J. Appl. Probab. 48 (4) 968 - 983, December 2011. https://doi.org/10.1239/jap/1324046013

Information

Published: December 2011
First available in Project Euclid: 16 December 2011

zbMATH: 1229.62139
MathSciNet: MR2896662
Digital Object Identifier: 10.1239/jap/1324046013

Subjects:
Primary: 60G70
Secondary: 62G32

Rights: Copyright © 2011 Applied Probability Trust

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Vol.48 • No. 4 • December 2011
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