{"status":"ok","message-type":"work","message-version":"1.0.0","message":{"indexed":{"date-parts":[[2025,10,7]],"date-time":"2025-10-07T14:36:26Z","timestamp":1759847786437,"version":"3.37.3"},"reference-count":28,"publisher":"Springer Science and Business Media LLC","issue":"1","license":[{"start":{"date-parts":[[2017,6,10]],"date-time":"2017-06-10T00:00:00Z","timestamp":1497052800000},"content-version":"unspecified","delay-in-days":0,"URL":"http:\/\/www.springer.com\/tdm"}],"content-domain":{"domain":["link.springer.com"],"crossmark-restriction":false},"short-container-title":["Ann Oper Res"],"published-print":{"date-parts":[[2018,3]]},"DOI":"10.1007\/s10479-017-2547-7","type":"journal-article","created":{"date-parts":[[2017,6,10]],"date-time":"2017-06-10T05:22:16Z","timestamp":1497072136000},"page":"47-65","update-policy":"https:\/\/doi.org\/10.1007\/springer_crossmark_policy","source":"Crossref","is-referenced-by-count":4,"title":["When is tail mean estimation more efficient than tail median? Answers and implications for quantitative risk management"],"prefix":"10.1007","volume":"262","author":[{"given":"Roger W.","family":"Barnard","sequence":"first","affiliation":[],"role":[{"role":"author","vocabulary":"crossref"}]},{"given":"Kent","family":"Pearce","sequence":"additional","affiliation":[],"role":[{"role":"author","vocabulary":"crossref"}]},{"ORCID":"https:\/\/orcid.org\/0000-0003-3133-5623","authenticated-orcid":false,"given":"A. Alexandre","family":"Trindade","sequence":"additional","affiliation":[],"role":[{"role":"author","vocabulary":"crossref"}]}],"member":"297","published-online":{"date-parts":[[2017,6,10]]},"reference":[{"volume-title":"Handbook of mathematical functions with formulas, graphs, and mathematical tables","year":"1972","key":"2547_CR1","unstructured":"Abramowitz, M., & Stegun, I. A. (Eds.). (1972). Handbook of mathematical functions with formulas, graphs, and mathematical tables. New York: Dover Publications."},{"key":"2547_CR2","doi-asserted-by":"crossref","first-page":"1487","DOI":"10.1016\/S0378-4266(02)00283-2","volume":"26","author":"C Acerbi","year":"2002","unstructured":"Acerbi, C., & Tasche, D. (2002). On the coherence of expected shortfall. Journal of Banking & Finance, 26, 1487\u20131503.","journal-title":"Journal of Banking & Finance"},{"key":"2547_CR3","doi-asserted-by":"crossref","first-page":"203","DOI":"10.1111\/1467-9965.00068","volume":"9","author":"P Artzner","year":"1999","unstructured":"Artzner, P., Delbaen, F., Eber, J., & Heath, D. (1999). Coherent measures of risk. Mathematical Finance, 9, 203\u2013228.","journal-title":"Mathematical Finance"},{"key":"2547_CR4","unstructured":"Basel III. (2013). Fundamental review of the trading book: A revised market risk framework, Technical report. Basel Committee on Banking Supervision, October 2013."},{"key":"2547_CR5","doi-asserted-by":"crossref","first-page":"739","DOI":"10.1287\/opre.1120.1072","volume":"60","author":"SY Chun","year":"2012","unstructured":"Chun, S. Y., Shapiro, A., & Uryasev, S. (2012). Conditional value-at-risk and average value-at-risk: Estimation and asymptotics. Operations Research, 60, 739\u2013756.","journal-title":"Operations Research"},{"key":"2547_CR6","unstructured":"Danielsson, J., & Zhou, C. (2016). Why risk is so hard to measure. DNB Working Paper No. 494, De Nederlandsche Bank NV, Amsterdam."},{"key":"2547_CR7","doi-asserted-by":"crossref","DOI":"10.1002\/0471722162","volume-title":"Order statistics","author":"H David","year":"2003","unstructured":"David, H., & Nagaraja, H. (2003). Order statistics (3rd ed.). Hoboken: Wiley.","edition":"3"},{"key":"2547_CR8","doi-asserted-by":"crossref","DOI":"10.1515\/9781400829170","volume-title":"Credit risk: Pricing, measurement, and management","author":"D Duffie","year":"2003","unstructured":"Duffie, D., & Singleton, K. J. (2003). Credit risk: Pricing, measurement, and management. Princeton: Princeton University Press."},{"key":"2547_CR9","doi-asserted-by":"crossref","first-page":"423","DOI":"10.1007\/s00186-013-0436-7","volume":"77","author":"P Embrechts","year":"2013","unstructured":"Embrechts, P., & Hofert, M. (2013). A note on generalized inverses. Mathematical Methods in Operations Research, 77, 423\u2013432.","journal-title":"Mathematical Methods in Operations Research"},{"key":"2547_CR10","doi-asserted-by":"crossref","first-page":"493","DOI":"10.1146\/annurev-statistics-022513-115631","volume":"1","author":"P Embrechts","year":"2014","unstructured":"Embrechts, P., & Hofert, M. (2014). Statistics and quantitative risk management for banking and insurance. Annual Review of Statistics and Its Application, 1, 493\u2013514.","journal-title":"Annual Review of Statistics and Its Application"},{"key":"2547_CR11","doi-asserted-by":"crossref","first-page":"25","DOI":"10.3390\/risks2010025","volume":"2","author":"P Embrechts","year":"2014","unstructured":"Embrechts, P., Puccetti, G., R\u00fcschendorf, L., Wang, R., & Beleraj, A. (2014). An academic response to Basel 3.5. Risks, 2, 25\u201348.","journal-title":"Risks"},{"key":"2547_CR12","volume-title":"Higher transcendental functions","author":"A Erdelyi","year":"1953","unstructured":"Erdelyi, A., Magnus, W., Oberhettinger, F., & Tricomi, F. G. (1953). Higher transcendental functions (Vol. 1). New York: McGraw-Hill."},{"key":"2547_CR13","doi-asserted-by":"crossref","DOI":"10.1515\/9783110218053","volume-title":"Stochastic finance: An introduction in discrete time","author":"H Follmer","year":"2011","unstructured":"Follmer, H., & Schied, A. (2011). Stochastic finance: An introduction in discrete time (3rd ed.). Berlin: de Gruyter.","edition":"3"},{"key":"2547_CR14","first-page":"123","volume":"5","author":"M Giurcanu","year":"2007","unstructured":"Giurcanu, M., & Trindade, A. A. (2007). Establishing consistency of M-estimators under concavity with an application to some financial risk measures. Journal of Probability and Statistical Science, 5, 123\u2013136.","journal-title":"Journal of Probability and Statistical Science"},{"key":"2547_CR15","doi-asserted-by":"crossref","first-page":"589","DOI":"10.1080\/03610929808832115","volume":"A27","author":"E Gomez","year":"1998","unstructured":"Gomez, E., Gomez-Villegas, M. A., & Marin, J. M. (1998). A multivariate generalization of the power exponential family of distributions. Communications in Statistics, A27, 589\u2013600.","journal-title":"Communications in Statistics"},{"key":"2547_CR16","volume-title":"Financial risk manager handbook","author":"P Jorion","year":"2003","unstructured":"Jorion, P. (2003). Financial risk manager handbook (2nd ed.). New York: Wiley.","edition":"2"},{"key":"2547_CR17","doi-asserted-by":"crossref","first-page":"55","DOI":"10.1080\/10920277.2003.10596118","volume":"7","author":"Z Landsman","year":"2003","unstructured":"Landsman, Z., & Valdez, E. (2003). Tail conditional expectations for elliptical distributions. North American Actuarial Journal, 7, 55\u201371.","journal-title":"North American Actuarial Journal"},{"key":"2547_CR18","doi-asserted-by":"crossref","first-page":"1244","DOI":"10.1007\/978-3-642-04898-2_496","volume-title":"International encyclopedia of statistical science","author":"R Maronna","year":"2011","unstructured":"Maronna, R. (2011). Robust statistical methods. In M. Lovric (Ed.), International encyclopedia of statistical science (pp. 1244\u20131248). Berlin: Springer."},{"key":"2547_CR19","volume-title":"Quantitative risk management: Concepts, techniques, tools","author":"AJ McNeil","year":"2005","unstructured":"McNeil, A. J., Frey, R., & Embrechts, P. (2005). Quantitative risk management: Concepts, techniques, tools. Princeton, NJ: Princeton University Press."},{"issue":"4","key":"2547_CR20","doi-asserted-by":"crossref","first-page":"1","DOI":"10.18637\/jss.v012.i04","volume":"12","author":"AM Mineo","year":"2005","unstructured":"Mineo, A. M., & Ruggieri, M. (2005). A software tool for the exponential power distribution: The normalp package. Journal of Statistical Software, 12(4), 1\u201323.","journal-title":"Journal of Statistical Software"},{"key":"2547_CR21","doi-asserted-by":"crossref","first-page":"685","DOI":"10.1080\/02664760500079464","volume":"32","author":"S Nadarajah","year":"2005","unstructured":"Nadarajah, S. (2005). A generalized normal distribution. Journal of Applied Statistics, 32, 685\u2013694.","journal-title":"Journal of Applied Statistics"},{"key":"2547_CR22","doi-asserted-by":"crossref","DOI":"10.1142\/6478","volume-title":"Modeling, measuring, and managing risk","author":"G Pflug","year":"2007","unstructured":"Pflug, G., & Romisch, W. (2007). Modeling, measuring, and managing risk. London: World Scientific."},{"key":"2547_CR23","doi-asserted-by":"crossref","first-page":"21","DOI":"10.21314\/JOR.2000.038","volume":"2","author":"R Rockafellar","year":"2000","unstructured":"Rockafellar, R., & Uryasev, S. (2000). Optimization of conditional value-at-risk. Journal of Risk, 2, 21\u201341.","journal-title":"Journal of Risk"},{"key":"2547_CR24","volume-title":"Real analysis","author":"HL Royden","year":"1988","unstructured":"Royden, H. L. (1988). Real analysis. Englewood Cliffs: Prentice Hall."},{"key":"2547_CR25","doi-asserted-by":"crossref","first-page":"52","DOI":"10.1080\/00031305.1997.10473589","volume":"51","author":"M Sherman","year":"1997","unstructured":"Sherman, M. (1997). Comparing the sample mean and the sample median: An exploration in the exponential power family. The American Statistician, 51, 52\u201354.","journal-title":"The American Statistician"},{"key":"2547_CR26","doi-asserted-by":"crossref","first-page":"3524","DOI":"10.1016\/j.jbankfin.2007.04.014","volume":"31","author":"AA Trindade","year":"2007","unstructured":"Trindade, A. A., Uryasev, S., Shapiro, A., & Zrazhevsky, G. (2007). Financial prediction with constrained tail risk. Journal of Banking and Finance, 31, 3524\u20133538.","journal-title":"Journal of Banking and Finance"},{"key":"2547_CR27","first-page":"87","volume":"20","author":"Y Yamai","year":"2002","unstructured":"Yamai, Y., & Yoshiba, T. (2002). Comparative analyses of expected shortfall and value-at-risk: Their estimation error, decomposition, and optimization. Monetary and Economic Studies (Bank of Japan), 20, 87\u2013121.","journal-title":"Monetary and Economic Studies (Bank of Japan)"},{"key":"2547_CR28","doi-asserted-by":"crossref","first-page":"997","DOI":"10.1016\/j.jbankfin.2004.08.010","volume":"29","author":"Y Yamai","year":"2005","unstructured":"Yamai, Y., & Yoshiba, T. (2005). Value-at-risk versus expected shortfall: A practical perspective. Journal of Banking & Finance, 29, 997\u20131015.","journal-title":"Journal of Banking & Finance"}],"container-title":["Annals of Operations Research"],"original-title":[],"language":"en","link":[{"URL":"http:\/\/link.springer.com\/article\/10.1007\/s10479-017-2547-7\/fulltext.html","content-type":"text\/html","content-version":"vor","intended-application":"text-mining"},{"URL":"http:\/\/link.springer.com\/content\/pdf\/10.1007\/s10479-017-2547-7.pdf","content-type":"application\/pdf","content-version":"vor","intended-application":"text-mining"},{"URL":"http:\/\/link.springer.com\/content\/pdf\/10.1007\/s10479-017-2547-7.pdf","content-type":"application\/pdf","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2024,6,24]],"date-time":"2024-06-24T18:04:05Z","timestamp":1719252245000},"score":1,"resource":{"primary":{"URL":"http:\/\/link.springer.com\/10.1007\/s10479-017-2547-7"}},"subtitle":[],"short-title":[],"issued":{"date-parts":[[2017,6,10]]},"references-count":28,"journal-issue":{"issue":"1","published-print":{"date-parts":[[2018,3]]}},"alternative-id":["2547"],"URL":"https:\/\/doi.org\/10.1007\/s10479-017-2547-7","relation":{},"ISSN":["0254-5330","1572-9338"],"issn-type":[{"type":"print","value":"0254-5330"},{"type":"electronic","value":"1572-9338"}],"subject":[],"published":{"date-parts":[[2017,6,10]]}}}