Robust estimator of distortion risk premiums for heavy-tailed losses

zbMath1337.62089arXiv1502.05017MaRDI QIDQ281455

Zoubir Kenioua, Brahim Brahimi

Publication date: 11 May 2016

Published in: Afrika Statistika (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1502.05017

zbMATH Keywords

robustnessextreme valuesdistortion risk premiumstail

Mathematics Subject Classification ID

Nonparametric hypothesis testing (62G10) Statistics of extreme values; tail inference (62G32)

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