Nonparametric estimation of risk measures of collective risks

DOI10.1515/STRM-2015-0014zbMath1338.60094arXiv1504.02693OpenAlexW2264917057MaRDI QIDQ254501

Alexandra Lauer, Henryk Zähle

Publication date: 8 March 2016

Published in: Statistics \& Risk Modeling (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1504.02693

zbMATH Keywords

convolutionMonte-Carlo simulationsnonparametric estimationaggregate risklaw-invariant risk measureMarcinkiewicz-Zygmund strong lawnonuniform Berry-esséen inequalitytotal claim distributionweak limit theorem

Mathematics Subject Classification ID

Asymptotic properties of nonparametric inference (62G20) Nonparametric estimation (62G05) Central limit and other weak theorems (60F05) Monte Carlo methods (65C05) Strong limit theorems (60F15)

Related Items (2)

Estimating and backtesting risk under heavy tails ⋮ Bootstrap consistency and bias correction in the nonparametric estimation of risk measures of collective risks

Cites Work

• Nonparametric estimation of compound distributions with applications in insurance
• Central Limit Theorems for Law-Invariant Coherent Risk Measures

This page was built for publication: Nonparametric estimation of risk measures of collective risks