Preprint
Abstract
We propose a new estimator for extreme quantiles under the log-generalized Weibull-tail model, introduced by Cees de Valk. This model relies on a new regular variation condition which, in some situations, permits to extrapolate further into the tails than the classical assumption in extreme-value theory. The asymptotic normality of the estimator is established and its finite sample properties are illustrated both on simulated and real datasets.