Asymptotic theory for the empirical Haezendonck-Goovaerts risk measure
Year of publication: |
2014
|
---|---|
Authors: | Ahn, Jae Youn ; Shyamalkumar, Nariankadu D. |
Published in: |
Insurance / Mathematics & economics. - Amsterdam : Elsevier, ISSN 0167-6687, ZDB-ID 8864-X. - Vol. 55.2014, p. 78-90
|
Subject: | Orlicz premium | Tail value-at-Risk (T-VaR) | Conditional tail expectation (CTE) | Empirical CTE | Risikomaß | Risk measure | Messung | Measurement | Statistische Verteilung | Statistical distribution | Risiko | Risk | Portfolio-Management | Portfolio selection | Schätzung | Estimation | Schätztheorie | Estimation theory |
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