Sensitivity of risk measures with respect to the normal approximation of total claim distributions
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Publication:654808
DOI10.1016/j.insmatheco.2011.05.004zbMath1228.91040OpenAlexW2022548842MaRDI QIDQ654808
Henryk Zähle, Volker Krätschmer
Publication date: 21 December 2011
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
Full work available at URL: http://sfb649.wiwi.hu-berlin.de/papers/pdf/SFB649DP2010-033.pdf
normal approximationtotal claim distributioncoherent risk measuredistortion risk measurerobust representation\(\varphi \)- and \(\alpha \)-mixing sequences of random variablesnonuniform Berry-Esseen inequality
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