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

Laurent Gardes 1 Stephane Girard 2 Gilles Stupfler 3
2 MISTIS - Modelling and Inference of Complex and Structured Stochastic Systems
Inria Grenoble - Rhône-Alpes, LJK - Laboratoire Jean Kuntzmann, Grenoble INP - Institut polytechnique de Grenoble - Grenoble Institute of Technology
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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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