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math.ST2022
Extreme expectile estimation for short-tailed data, with an application to market risk assessment
Abdelaati Daouia, Simone A. Padoan, Gilles Stupfler
The use of expectiles in risk management has recently gathered remarkable momentum due to their excellent axiomatic and probabilistic properties. In particular, the class of elicit…
stat.ME2022
Empirical Bayes inference for the block maxima method
Simone A Padoan, Stefano Rizzelli
The block maxima method is one of the most popular approaches for extreme value analysis with independent and identically distributed observations in the domain of attraction of an…