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Bootstrap consistency and bias correction in the nonparametric estimation of risk measures of collective risks
Lauer, Alexandra; Zähle, Henryk - In: Insurance / Mathematics & economics 74 (2017), pp. 99-108
Persistent link: https://www.econbiz.de/10011712409
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Bias correction for estimated distortion risk measure using the bootstrap
Kim, Joseph H. T. - In: Insurance / Mathematics & economics 47 (2010) 2, pp. 198-205
Persistent link: https://www.econbiz.de/10008654254
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Kernel-type estimator of the conditional tail expectation for a heavy-tailed distribution
Rassoul, Abdelaziz - In: Insurance / Mathematics & economics 53 (2013) 3, pp. 698-703
Persistent link: https://www.econbiz.de/10010227902
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Second-order tail asymptotics of deflated risks
Hashorva, Enkelejd; Ling, Chengxiu; Peng, Zuoxiang - In: Insurance / Mathematics & economics 56 (2014), pp. 88-101
Persistent link: https://www.econbiz.de/10010385024
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Asymptotic theory for the empirical Haezendonck-Goovaerts risk measure
Ahn, Jae Youn; Shyamalkumar, Nariankadu D. - In: Insurance / Mathematics & economics 55 (2014), pp. 78-90
Persistent link: https://www.econbiz.de/10010366204
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Nonparametric estimation of operational value-at-risk (OpVaR)
Tursunalieva, Ainura; Silvapulla, Param - In: Insurance / Mathematics & economics 69 (2016), pp. 194-201
Persistent link: https://www.econbiz.de/10011530959
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Extreme value analysis of the Haezendonck-Goovaerts risk measure with a general Young function
Tang, Qihe; Yang, Fan - In: Insurance / Mathematics & economics 59 (2014), pp. 311-320
Persistent link: https://www.econbiz.de/10010469980
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Second order risk aggregation with the Bernstein copula
Coqueret, Guillaume - In: Insurance / Mathematics & economics 58 (2014), pp. 150-158
Persistent link: https://www.econbiz.de/10010437578
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Estimating value at risk of portfolio by conditional copula-GARCH method
Huang, Jen-jsung; Lee, Kuo-jung; Liang, Hueimei; Lin, Wei-fu - In: Insurance / Mathematics & economics 45 (2009) 3, pp. 315-324
Persistent link: https://www.econbiz.de/10009517562
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Inference for intermediate Haezendonck-Goovaerts risk measure
Wang, Xing; Peng, Liang - In: Insurance / Mathematics & economics 68 (2016), pp. 231-240
Persistent link: https://www.econbiz.de/10011493849