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Reiss and Thomas' automatic selection of the number of extremes

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  • Neves, Claudia
  • Fraga Alves, M. I.

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  • Neves, Claudia & Fraga Alves, M. I., 2004. "Reiss and Thomas' automatic selection of the number of extremes," Computational Statistics & Data Analysis, Elsevier, vol. 47(4), pages 689-704, November.
    • Handle: RePEc:eee:csdana:v:47:y:2004:i:4:p:689-704
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    References listed on IDEAS

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    1. Danielsson, J. & de Haan, L. & Peng, L. & de Vries, C. G., 2001. "Using a Bootstrap Method to Choose the Sample Fraction in Tail Index Estimation," Journal of Multivariate Analysis, Elsevier, vol. 76(2), pages 226-248, February.
    2. Drees, Holger & Kaufmann, Edgar, 1998. "Selecting the optimal sample fraction in univariate extreme value estimation," Stochastic Processes and their Applications, Elsevier, vol. 75(2), pages 149-172, July.
    3. Beirlant, J. & Matthys, G. & Dierckx, G., 2001. "Heavy-Tailed Distributions and Rating," ASTIN Bulletin, Cambridge University Press, vol. 31(1), pages 37-58, May.
    4. L. De Haan & L. Peng, 1998. "Comparison of tail index estimators," Statistica Neerlandica, Netherlands Society for Statistics and Operations Research, vol. 52(1), pages 60-70, March.
    5. Beirlant, Jan & Goegebeur, Yuri, 2003. "Regression with response distributions of Pareto-type," Computational Statistics & Data Analysis, Elsevier, vol. 42(4), pages 595-619, April.
    6. Dekkers, A. L. M. & Dehaan, L., 1993. "Optimal Choice of Sample Fraction in Extreme-Value Estimation," Journal of Multivariate Analysis, Elsevier, vol. 47(2), pages 173-195, November.
    7. Einmahl, J. H.J. & Dekkers, A. L.M. & de Haan, L., 1989. "A moment estimator for the index of an extreme-value distribution," Other publications TiSEM 81970cb3-5b7a-4cad-9bf6-2, Tilburg University, School of Economics and Management.
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    1. Evandro Konzen & Cláudia Neves & Philip Jonathan, 2021. "Modeling nonstationary extremes of storm severity: Comparing parametric and semiparametric inference," Environmetrics, John Wiley & Sons, Ltd., vol. 32(4), June.
    2. Djamel Meraghni & Abdelhakim Necir, 2007. "Estimating the Scale Parameter of a Lévy-stable Distribution via the Extreme Value Approach," Methodology and Computing in Applied Probability, Springer, vol. 9(4), pages 557-572, December.
    3. Saida Mancer & Abdelhakim Necir & Souad Benchaira, 2023. "Bias Reduction in Kernel Tail Index Estimation for Randomly Truncated Pareto-Type Data," Sankhya A: The Indian Journal of Statistics, Springer;Indian Statistical Institute, vol. 85(2), pages 1510-1547, August.
    4. Brahimi, Brahim & Meraghni, Djamel & Necir, Abdelhakim & Zitikis, Ričardas, 2011. "Estimating the distortion parameter of the proportional-hazard premium for heavy-tailed losses," Insurance: Mathematics and Economics, Elsevier, vol. 49(3), pages 325-334.
    5. Benkhelifa, Lazhar, 2014. "Kernel-type estimator of the reinsurance premium for heavy-tailed loss distributions," Insurance: Mathematics and Economics, Elsevier, vol. 59(C), pages 65-70.
    6. Brahimi, Brahim & Abdelli, Jihane, 2016. "Estimating the distortion parameter of the proportional hazards premium for heavy-tailed losses under Lévy-stable regime," Insurance: Mathematics and Economics, Elsevier, vol. 70(C), pages 135-143.
    7. Rassoul, Abdelaziz, 2013. "Kernel-type estimator of the conditional tail expectation for a heavy-tailed distribution," Insurance: Mathematics and Economics, Elsevier, vol. 53(3), pages 698-703.
    8. Necir, Abdelhakim & Meraghni, Djamel, 2009. "Empirical estimation of the proportional hazard premium for heavy-tailed claim amounts," Insurance: Mathematics and Economics, Elsevier, vol. 45(1), pages 49-58, August.
    9. Gbari, Kock Yed Ake Samuel & Poulain, Michel & Dal, Luc & Denuit, Michel, 2016. "Extreme value analysis of mortality at the oldest ages: a case study based on individual ages at death," LIDAM Discussion Papers ISBA 2016012, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).

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