From concentration profiles to concentration maps. New tools for the study of loss distributions

DOI10.1016/j.insmatheco.2017.11.003zbMath1398.91326OpenAlexW3122338127MaRDI QIDQ1697209

Pasquale Cirillo, Andrea Fontanari, Cornelis W. Oosterlee

Publication date: 15 February 2018

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://ir.cwi.nl/pub/27143

zbMATH Keywords

value-at-riskGini indexexpected shortfallconcentration profileconcentration measures

Mathematics Subject Classification ID

Related Items (2)

Lorenz-generated bivariate Archimedean copulas ⋮ Gini estimation under infinite variance

Uses Software

• robustbase
• bootlib

Cites Work

• Characterization of distributions by properties of truncated Gini index and mean difference
• Generalized convexity and optimization. Theory and applications
• Statistical inference using extreme order statistics
• Local polynomial maximum likelihood estimation for Pareto-type distributions.
• Are your data really Pareto distributed?
• The Gini methodology. A primer on a statistical methodology.
• Quasiconvex risk statistics with scenario analysis
• Extreme-quantile tracking for financial time series
• Sur la distribution limite du terme maximum d'une série aléatoire
• Dual Representation of Quasi-convex Conditional Maps
• Modeling Income Distributions and Lorenz Curves
• Ethical Indices for the Measurement of Poverty
• The Stationary Bootstrap
• Statistical Size Distributions in Economics and Actuarial Sciences
• Expected shortfall estimation for apparently infinite-mean models of operational risk
• Robust Statistics
• Financial markets theory. Equilibrium, efficiency and information
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item

This page was built for publication: From concentration profiles to concentration maps. New tools for the study of loss distributions