. "3" . . . "Z(AV0Z10300504)" . "Waldl, H." . "RIV/67985807:_____/10:00342150!RIV11-AV0-67985807" . "Potock\u00FD, R." . "On the Favorable Estimation for Fitting Heavy Tailed Data" . . "000280074100008" . "25" . "On the Favorable Estimation for Fitting Heavy Tailed Data"@en . "Stehl\u00EDk, M." . "Assessment of heavy tailed data and its compound sums has many applications in insurance, auditing and operational risk capital assessment among others. In this paper, we compare the classical estimators (maximum likelihood, QQ and moment estimators) with the recently introduced robust estimators of \u201Cgeneralized median, \u201Ctrimmed mean and estimators based on t-score moments. We derive the exact distribution of the likelihood ratio tests of homogeneity and simple hypothesis on the tail index of a two-parameter Pareto model. Such exact tests support the assessment of the performance of estimators. In particular, we discuss some problems that one can encounter when misemploying the log-normal assumption based methods supported by the Basel II framework. Real data and simulated examples illustrate the methods."@en . "RIV/67985807:_____/10:00342150" . . . "Assessment of heavy tailed data and its compound sums has many applications in insurance, auditing and operational risk capital assessment among others. In this paper, we compare the classical estimators (maximum likelihood, QQ and moment estimators) with the recently introduced robust estimators of \u201Cgeneralized median, \u201Ctrimmed mean and estimators based on t-score moments. We derive the exact distribution of the likelihood ratio tests of homogeneity and simple hypothesis on the tail index of a two-parameter Pareto model. Such exact tests support the assessment of the performance of estimators. In particular, we discuss some problems that one can encounter when misemploying the log-normal assumption based methods supported by the Basel II framework. Real data and simulated examples illustrate the methods." . "heavy-tailed distribution; exact likelihood ratio test; T-score moment estimator; insurance; Basel II"@en . . "Computational Statistics" . "276863" . . . . "19"^^ . "1"^^ . . . "Fabi\u00E1n, Zden\u011Bk" . "On the Favorable Estimation for Fitting Heavy Tailed Data"@en . "[C9E3A1CC9217]" . . "DE - Spolkov\u00E1 republika N\u011Bmecko" . "On the Favorable Estimation for Fitting Heavy Tailed Data" . "0943-4062" . "4"^^ . . . . .