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stat.ME2018
The risk function of the goodness-of-fit tests for tail models
Ingo Hoffmann, Christoph J. Börner
This paper contributes to answering a question that is of crucial importance in risk management and extreme value theory: How to select the threshold above which one assumes that t…
stat.ME2018
Body and Tail - Separating the distribution function by an efficient tail-detecting procedure in risk management
Ingo Hoffmann, Christoph J. Börner
In risk management, tail risks are of crucial importance. The quality of a tail model, which is determined by data from an unknown distribution, depends critically on the subset of…