Pareto Tail Index Estimation Revisited

North American Actuarial Journal

Volumn 10, Issue 1, 2006, Pages 1-10

  Finkelstein, Mark ^a   Tucker, Howard G ^a   Alan Veeh, Jerry ^b  

^a UNIVERSITY OF CALIFORNIA   (United States)

^b AUBURN UNIVERSITY   (United States)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 77955124698     PISSN: 10920277     EISSN: None     Source Type: Journal    
DOI: 10.1080/10920277.2006.10596236     Document Type: Article

References (7)

1. Bilodeau, Martin. 2001a. Discussions of Papers Already Published. North American Actuarial Journal 5(3): 123-28.
2. Bilodeau, Martin. 2001b. Robust Estimation of the Tail Index of a Pareto Distribution. Technical Report, Université de Montréal.
3. Brazauskas, Vytaras, and Robert Serfling. 2000. Robust and Efficient Estimation of the Tail Index of a Single-Parameter Pareto Distribution. North American Actuarial Journal 4(4): 12-27.
4. Victoria-Feser, Maria-Pia, and Elvezzio Ronchetti. 1994. Robust Methods for Personal Income Distribution Models. Canadian Journal of Statistics 22(2): 247-58.
5. Finkelstein, Mark, Howard G. Tucker, and Jerry Alan Veeh. 2000. Conservative Confidence Intervals for a Single Parameter. Communications in Statistics: Theory and Methods 29(8): 1911-28.
6. Hampel, Frank R., Elvezzio Ronchetti, Peter J. Rousseeuw, and Werner A. Stahel. 1986. Robust Statistics: The Approach Based on Influence Functions. New York: John Wiley.
7. Huber, Peter J. 1981. Robust Statistics. New York: John Wiley.