Sensitivity of risk measures with respect to the normal approximation of total claim distributions
type: Item
instance of: scholarly article
title: Sensitivity of risk measures with respect to the normal approximation of total claim distributions
zbMATH Open document ID: 1228.91040
author: Volker Krätschmer
author: Henryk Zähle
published in: Insurance Mathematics \& Economics
publication date: 2011-12-21T00:00:00Z
full work available at URL: SFB649DP2010-033.pdf
Mathematics Subject Classification ID: 91B30
zbMATH DE Number: 5991244
zbMATH Keywords: total claim distribution
zbMATH Keywords: \(\varphi \)- and \(\alpha \)-mixing sequences of random variables
zbMATH Keywords: normal approximation
zbMATH Keywords: nonuniform Berry-Esseen inequality
zbMATH Keywords: distortion risk measure
zbMATH Keywords: coherent risk measure
zbMATH Keywords: robust representation
MaRDI profile type: Publication
OpenAlex ID: W2022548842
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DOI: 10.1016/J.INSMATHECO.2011.05.004
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description: scientific article; zbMATH DE number 5991244