On the favorable estimation for fitting heavy tailed data
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References listed on IDEAS
- Marco Moscadelli, 2004. "The modelling of operational risk: experience with the analysis of the data collected by the Basel Committee," Temi di discussione (Economic working papers) 517, Bank of Italy, Economic Research and International Relations Area.
- Vandewalle, B. & Beirlant, J. & Christmann, A. & Hubert, M., 2007. "A robust estimator for the tail index of Pareto-type distributions," Computational Statistics & Data Analysis, Elsevier, vol. 51(12), pages 6252-6268, August.
- Rytgaard, Mette, 1990. "Estimation in the Pareto Distribution," ASTIN Bulletin: The Journal of the International Actuarial Association, Cambridge University Press, vol. 20(02), pages 201-216, November.
- Brazauskas, Vytaras & Serfling, Robert, 2003. "Favorable Estimators for Fitting Pareto Models: A Study Using Goodness-of-fit Measures with Actual Data," ASTIN Bulletin: The Journal of the International Actuarial Association, Cambridge University Press, vol. 33(02), pages 365-381, November.
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- Vygantas Paulauskas & Marijus Vaičiulis, 2017. "A class of new tail index estimators," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 69(2), pages 461-487, April.
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KeywordsHeavy-tailed distribution; Exact likelihood ratio test; T-score moment estimator; Insurance; Basel II;
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