TAIL EXPECTILE ESTIMATION IN THE SEMIPARAMETRIC GENERALIZED PARETO MODEL
半参数广义帕累托模型中的尾部期望分位数估计
Expectiles have received increasing attention as a market risk measure that is both coherent and elicitable. They are defined as a least squares analog to quantiles. Their estimation from heavy-tailed loss data in an extreme value framework is an important and difficult problem, especially when the target tail expectile is beyond the range of the data. This problem has been studied only fairly recently, using solely the Weissman extrapolation method. The competing…