592 citations · 1.4k across the 32 of their papers we have counts for
4 papers · 1 filter
Improved inference on risk measures for univariate extremes
Léo R. Belzile, Anthony C. Davison
We discuss the use of likelihood asymptotics for inference on risk measures in univariate extreme value problems, focusing on estimation of high quantiles and similar summaries of…
Tail risk inference via expectiles in heavy-tailed time series
Anthony C. Davison, Simone A. Padoan, Gilles Stupfler
Expectiles define the only law-invariant, coherent and elicitable risk measure apart from the expectation. The popularity of expectile-based risk measures is steadily growing and t…
Functional Peaks-over-threshold Analysis
Raphaël de Fondeville, Anthony C. Davison
Peaks-over-threshold analysis using the generalized Pareto distribution is widely applied in modelling tails of univariate random variables, but much information may be lost when c…
Human mortality at extreme age
Léo R. Belzile, Anthony C. Davison, Holger Rootzén +1
We use a combination of extreme value theory, survival analysis and computer-intensive methods to analyze the mortality of Italian and French semi-supercentenarians for whom there…