Estimating Extreme Quantiles of Weibull Tail Distributions

@inproceedings{Gardes2005EstimatingEQ,
  title={Estimating Extreme Quantiles of Weibull Tail Distributions},
  author={Laurent Gardes and St{\'e}phane S. Girard},
  year={2005}
}
We present a new estimator of extreme quantiles dedicated to Weibull tail distributions. This estimate is based on a consistent estimator of the Weibull tail coefficient. This parameter is defined as the regular variation coefficient of the inverse cumulative hazard function. We give conditions in order to obtain the weak consistency and the asymptotic distribution of the extreme quantiles estimator. Its asymptotic as well as its finite sample performances are compared to classical ones.