Abstract
InStatistics of Extremes we are mainly interested in the estimation of quantities related to extreme events. In many areas of application, like for instanceInsurance Mathematics, Finance andStatistical Quality Control, a typical requirement is to find a value, high enough, so that the chance of an exceedance of that value is small. We are then interested in the estimation of ahigh quantile X p , a value which is overpassed with a small probabilityp. In this paper we deal with the semi-parametric estimation ofX p for heavy tails. Since the classical semi-parametric estimators exhibit a reasonably high bias for low thresholds, we shall deal with bias reduction techniques, trying to improve their performance.
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Gomes, M.I., Figueiredo, F. Bias reduction in risk modelling: Semi-parametric quantile estimation. Test 15, 375–396 (2006). https://doi.org/10.1007/BF02607058
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DOI: https://doi.org/10.1007/BF02607058