Estimating the distortion parameter of the proportional-hazard premium for heavy-tailed losses
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Publication:654807
DOI10.1016/J.INSMATHECO.2011.05.001zbMath1229.91155OpenAlexW2021440908MaRDI QIDQ654807
Ričardas Zitikis, Abdelhakim Necir, Brahim Brahimi, Djamel Meraghni
Publication date: 21 December 2011
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.insmatheco.2011.05.001
heavy tailextreme valuedistortion risk measuredistortion parameterproportional-hazard premiumproportional-hazard transformrisk aversion index
Related Items (6)
ESTIMATION OF RISK MEASURES FROM HEAVY TAILED DISTRIBUTIONS ⋮ Generalized PELVE and applications to risk measures ⋮ Statistical foundations for assessing the difference between the classical and weighted-Gini betas ⋮ On the interplay between distortion, mean value and Haezendonck-Goovaerts risk measures ⋮ Estimating the distortion parameter of the proportional hazards premium for heavy-tailed losses under Lévy-stable regime ⋮ Weighted allocations, their concomitant-based estimators, and asymptotics
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