We evaluate the performance of different approaches for estimating quantiles of com- pound distributions, which are widely used for risk quantification in the banking and insurance industries. We ...

Quantiles and expectiles analyze the regression model not only at the mean but also in the tails. Financial losses, medical insurance, auction bids, insurance claims and toxicity limits are all areas ...

PROC STDIZE offers two methods for computing quantiles: the one-pass approach and the order-statistics approach (like that used in the UNIVARIATE procedure). The one-pass approach used in PROC STDIZE ...

We consider the problem of estimating the quantiles of a one-parameter exponential distribution. Using the estimated quantiles to predict the distribution function, and attempting to minimize mean ...

We consider Bayesian inferences on a type of multivariate median and the multivariate quantile functionals of a joint distribution using a Dirichlet process prior. Unlike univariate quantiles, the ...