Testing for the order of risk measures: an application of \(L\)-statistics in actuarial science
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Publication:2002944
zbMath1416.62587MaRDI QIDQ2002944
Ričardas Zitikis, Bruce L. Jones
Publication date: 12 July 2019
Published in: Metron (Search for Journal in Brave)
bootstrapasymptotic distributionrisk measures\(L\)-statisticsnonparametric estimationdistortion functionparametric estimationproportional hazards transform
Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70) Testing in survival analysis and censored data (62N03)
Related Items (11)
Ordering Gini indexes of multivariate elliptical risks ⋮ Risk measures, distortion parameters, and their empirical estimation ⋮ ESTIMATION OF RISK MEASURES FROM HEAVY TAILED DISTRIBUTIONS ⋮ A robust estimator of the proportional hazard transform for massive data ⋮ Smoothed Quantiles for Measuring Discrete Risks ⋮ Bounds for some general sums of random variables ⋮ Jackknife empirical likelihood method for some risk measures and related quantities ⋮ Empirical estimation of the proportional hazard premium for heavy-tailed claim amounts ⋮ Weighted premium calculation principles ⋮ Testing hypotheses about the equality of several risk measure values with applications in insurance ⋮ “An Actuarial Premium Pricing Model for Nonnormal Insurance and Financial Risks in Incomplete Markets”, Zinoviy Landsman and Michael Sherris, January 2007
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