Large-sample confidence intervals for risk measures of location-scale families

DOI10.1016/j.jspi.2012.01.008zbMath1408.62048OpenAlexW1983234616MaRDI QIDQ419329

Ian Iscoe, Taehan Bae

Publication date: 18 May 2012

Published in: Journal of Statistical Planning and Inference (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jspi.2012.01.008

zbMATH Keywords

confidence intervalsasymptotic normalityvalue-at-riskexpected shortfalllocation-scale family

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Parametric tolerance and confidence regions (62F25) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Related Items (1)

Estimation methods for expected shortfall

Cites Work

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• Estimating conditional tail expectation with actuarial applications in view
• Stochastic dominance theory for location-scale family
• Coherent Measures of Risk
• Saddlepoint Approximations with Applications
• Representations for bias and variance of the sample standard deviation
• A Note on Quantiles in Large Samples
• Application of Coherent Risk Measures to Capital Requirements in Insurance
• Relations between Weak and Uniform Convergence of Measures with Applications

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