Beyond the Sample: Extreme Quantile and Probability Estimation

Jon Danielsson () and Casper G. de Vries ()

FMG Discussion Papers from Financial Markets Group

Abstract: Economic problems such as large claims analysis in insurance and value-at-risk in finance, require assessment of the probability P of extreme realizations Q. This paper provides a semi-parametric method for estimation of extreme (P,Q) combinations for data with heavy tails. We solve the long standing problem of estimating the sample threshold of where the tail of the distribution starts. This is accomplished by the combination of a control variate type device and a subsample bootstrap technique. The subsample bootstrap attains convergence in probability, whereas the full sample bootstrap would only provide convergence in distribution. This permits a complete and comprehensive treatment of extreme (P,Q) estimation.

Date: 1998-07
View citations in EconPapers

Downloads: (external link)
http://fmg.lse.ac.uk/pdfs/dp298.pdf (application/pdf)
Financial Markets Group Working Papers are free to download for academics and students, and for our subscribers and sponsors. If you fall into one of these categories but have trouble downloading our papers, or if you do not fall into one of these categories but would like to pay for a copy, please contact us at fmg@lse.ac.uk

Related works:
Working Paper: Beyond the Sample: Extreme Quantile and Probability Estimation (1998)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: http://EconPapers.repec.org/RePEc:fmg:fmgdps:dp298

Access Statistics for this paper

More papers in FMG Discussion Papers from Financial Markets Group
Series data maintained by The FMG Administration ().