Model Efficiency and Uncertainty in Quantile Estimation of Loss Severity Distributions
Quantiles of probability distributions play a central role in the definition of risk measures (e.g., value-at-risk, conditional tail expectation) which in turn are used to capture the riskiness of the distribution tail. Estimates of risk measures are needed in many practical situations such as in pr...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
MDPI AG
2019-05-01
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| Series: | Risks |
| Subjects: | |
| Online Access: | https://www.mdpi.com/2227-9091/7/2/55 |