Estimating and backtesting risk under heavy tails

DOI10.1016/J.INSMATHECO.2022.01.006zbMath1490.91250arXiv2010.09937OpenAlexW4210669237MaRDI QIDQ2138613

Yanyan Li

Publication date: 12 May 2022

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

Full work available at URL: https://arxiv.org/abs/2010.09937

zbMATH Keywords

biasvalue-at-riskexpected shortfallgeneralized Pareto distributionrisk estimationbacktestingestimation of risk capitalunbiased estimation of risk measures

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) Statistics of extreme values; tail inference (62G32)

Related Items (1)

Parametric expectile regression and its application for premium calculation

Uses Software

• QRM

Cites Work

• Unnamed Item
• Unnamed Item
• Making and Evaluating Point Forecasts
• Nonparametric estimation of risk measures of collective risks
• Comparative and qualitative robustness for law-invariant risk measures
• Distributionally robust inference for extreme value-at-risk
• An application of extreme value theory for measuring financial risk
• Elicitability and backtesting: perspectives for banking regulation
• Bootstrap consistency and bias correction in the nonparametric estimation of risk measures of collective risks
• Verification of internal risk measure estimates
• Dynamic assessment indices
• COHERENCE AND ELICITABILITY
• Probability-unbiased Value-at-Risk estimators
• Robustness and sensitivity analysis of risk measurement procedures
• Statistical Inference for Expectile‐based Risk Measures
• Predictive Inference and Scientific Reproducibility

This page was built for publication: Estimating and backtesting risk under heavy tails