Beyond tail median and conditional tail expectation: extreme risk estimation using tail $Lp$ −optimisation

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https://hal.inria.fr/hal-01726328
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Submitted on : Wednesday, July 17, 2019 - 1:59:16 PM
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Laurent Gardes, Stephane Girard, Gilles Stupfler. Beyond tail median and conditional tail expectation: extreme risk estimation using tail $Lp$ −optimisation. Scandinavian Journal of Statistics, Wiley, In press, pp.1-69. ⟨hal-01726328v3⟩

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