Nonparametric inference for sensitivity of Haezendonck–Goovaerts risk measure
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Publication:4562030
DOI10.1080/03461238.2018.1429299zbMath1418.91259OpenAlexW2794429392MaRDI QIDQ4562030
Qing Liu, Yanxi Hou, Xing Wang, Liang Peng
Publication date: 14 December 2018
Published in: Scandinavian Actuarial Journal (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/03461238.2018.1429299
asymptotic distributionsensitivity analysisHaezendonck-Goovaerts risk measuremixing sequencenonparametric estimate
Applications of statistics to actuarial sciences and financial mathematics (62P05) Nonparametric estimation (62G05) Portfolio theory (91G10)
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