A new tail-index estimator blends censored-data Hill estimates with expert guesses through an entropy-perturbed likelihood, and reduces to a simple weighted harmonic mean when the expert is correct.
Penalized bias reduction in extreme value estimation for censored pareto-type data, and long-tailed insurance applications
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Combined Tail Estimation Using Censored Data and Expert Information
A new tail-index estimator blends censored-data Hill estimates with expert guesses through an entropy-perturbed likelihood, and reduces to a simple weighted harmonic mean when the expert is correct.