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Tail risk estimation based on extreme Lp-quantiles

Abstract : The notion of quantiles lies at the heart of extreme-value theory and is one of the basic tools in risk management.The alternative family of expectiles is based on squared rather than absolute error loss minimization. Both quantiles and expectiles can be embedded in the more general class of Lp-quantiles as the minimizers of an asymmetric power loss function. In this talk, new methods will be presented for estimating high Lp-quantiles from heavy-tailed distributions.
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Contributor : Stephane Girard Connect in order to contact the contributor
Submitted on : Tuesday, December 13, 2016 - 11:37:26 AM
Last modification on : Friday, February 4, 2022 - 3:33:51 AM


  • HAL Id : hal-01415533, version 1


Stéphane Girard, Abdelaati Daouia, Gilles Stupfler. Tail risk estimation based on extreme Lp-quantiles. Statistics workshop Tilburg University, Dec 2016, Tilburg, Netherlands. ⟨hal-01415533⟩



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