Nonparametric inference for distortion risk measures on tail regions

DOI10.1016/j.insmatheco.2019.09.003zbMath1427.91300OpenAlexW2974952959WikidataQ127217709 ScholiaQ127217709MaRDI QIDQ2010897

Xing Wang, Yanxi Hou

Publication date: 28 November 2019

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

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2019.09.003

zbMATH Keywords

copulaextreme value theorydistortion risk measurenonparametric methodtail risk analysis

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70) Statistics of extreme values; tail inference (62G32)

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Cites Work

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