NestedL-statistics and their use in comparing the riskiness of portfolios

DOI10.1080/03461230701390287zbMath1150.91025OpenAlexW2006183741MaRDI QIDQ3505340

Bruce L. Jones, Ričardas Zitikis, Vytaras Brazauskas, Madan Lal Puri

Publication date: 18 June 2008

Published in: Scandinavian Actuarial Journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03461230701390287

zbMATH Keywords

asymptotic distributionhypothesis testingrisk measuresconditional tail expectationinsurance losses

Mathematics Subject Classification ID

Related Items (10)

Ordering Gini indexes of multivariate elliptical risks ⋮ Estimating L-functionals for heavy-tailed distributions and application ⋮ Zenga's new index of economic inequality, its estimation, and an analysis of incomes in Italy ⋮ Smoothed Quantiles for Measuring Discrete Risks ⋮ Contrasting the Gini and Zenga indices of economic inequality ⋮ Credibility theory based on trimming ⋮ Bias correction for estimated distortion risk measure using the bootstrap ⋮ Weighted premium calculation principles ⋮ Capital Allocation Using the Bootstrap ⋮ Stochastic ordering of Gini indexes for multivariate elliptical risks

Cites Work

• Ordering risks: expected utility theory versus Yaari's dual theory of risk
• Insurance pricing and increased limits ratemaking by proportional hazards transforms
• Testing hypotheses about the equality of several risk measure values with applications in insurance
• Coherent Measures of Risk
• Approximation Theorems of Mathematical Statistics
• Empirical Estimation of Risk Measures and Related Quantities
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