Risk measures in a quantile regression credibility framework with Fama/French data applications
Year of publication: |
May 2017
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Authors: | Pitselis, Georgios |
Published in: |
Insurance / Mathematics & economics. - Amsterdam : Elsevier, ISSN 0167-6687, ZDB-ID 8864-X. - Vol. 74.2017, p. 122-134
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Subject: | Quantile credibility | Quantile regression | Regression value at risk | Conditional tail expectation | Quantile tail expectation | Regressionsanalyse | Regression analysis | Risikomaß | Risk measure | Schätzung | Estimation | Glaubwürdigkeit | Credibility | Statistische Verteilung | Statistical distribution | Erwartungsbildung | Expectation formation | Risiko | Risk | Schätztheorie | Estimation theory |
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