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Bias-Corrected Peaks-Over-Threshold Estimation of the CVaR
To mitigate this problem, the CVaR can be estimated by extrapolating above a lower threshold than the VaR using a generalized Pareto distribution (GPD), which is often referred to as the peaks-over-threshold (POT) approach.
Risk-Averse Action Selection Using Extreme Value Theory Estimates of the CVaR
To mitigate this problem, extreme value theory can be used to derive an estimator for the CVaR that uses extrapolation beyond available samples.
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