o:37206 THEORETICAL AND EMPIRICAL RESULTS ON THE COVERAGE PROBABILITY OF THE STANDARD QUANTILE ESTIMATOR FOR THE BURR DISTRIBUTION en Abstract: This In this paper, we determine the coverage probability of the standard quantile estimator for the Burr Type XII distribution. The analysis is conducted under the assumptions of negative dependence and independence and identical distribution (i.i.d.) between observations, and is based on large deviations theory. Numerical results are provided for various parameter settings and quantile levels, illustrating the estimator’s convergence properties as the sample size increases. Our findings improve the understanding of the estimator’s performance in the context of heavy-tailed distributions relevant to insurance and finance. Keywords: Coverage probability, standard quantile estimator, Value-at-Risk 1552099 10.5281/zenodo.17533975 1552100 978-86-7680-484-8 2025-12-03T11:05:53.662Z 44 no 46 Jelena Stanojević Univerzitet u Beogradu Ekonomski fakultet 0000-0001-5668-5297 Marija Koprivica Univerzitet u Beogradu Ekonomski fakultet person 0000-0003-4239-2252 application/pdf 1199868 https://phaidrabg.bg.ac.rs/o:37206 no yes 18 70 92000004 11A03 International Symposium on Operational Research, SYM-OP-IS 2025, Palić, 7-10. septembar 2025 413 418 Belgrade: University of Belgrade, Faculty of Organisational Sciences 2025