Year: 2025
Type: conference-paper
Abstract: Extreme value theory comprises a set of techniques for inference at the tail of distributions, where data are scarce or non-existent. The tail index is the main parameter, with risk measures such as value at risk or expected shortfall depending on it. In this study, we will analyze a method for estimating the tail index through a simulation study. This will allow for an application using real data including the estimation of the mentioned risk measures.
Authors: Marta Ferreira, Liliana Monteiro
Institutions: Centro de Matemática, University of Minho
Language: English
Topic: Probability and Risk Models
Field: Decision Sciences
Domain: Social Sciences
Open Access status: gold
OpenAlex ID: W4413201849