Similar Search Results

Jackknife empirical likelihood method for some risk measures and related quantities

Peng, Liang; Qi, Yongcheng; Wang, Ruodu; Yang, Jingping - In: Insurance: Mathematics and Economics 51 (2012) 1, pp. 142-150

Quantifying risks is of importance in insurance. In this paper, we employ the jackknife empirical likelihood method to construct confidence intervals for some risk measures and related quantities studied by Jones and Zitikis (2003). A simulation study shows the advantages of the new method over...

Persistent link: https://www.econbiz.de/10010572726

Interval estimation of value-at-risk based on GARCH models with heavy-tailed innovations

Chan, Ngai Hang; Deng, Shi-jie; Peng, Liang; Xia, Zhendong - In: Journal of econometrics 137 (2007) 2, pp. 556-576

Persistent link: https://www.econbiz.de/10003441983

CreditRisk+ model with dependent risk factors

Wang, Ruodu; Peng, Liang; Yang, Jingping - In: North American actuarial journal 19 (2015) 1, pp. 24-40

Persistent link: https://www.econbiz.de/10011420714

Bounds for the sum of dependent risks and worst value-at-risk with monotone marginal densities

Wang, Ruodu; Peng, Liang; Yang, Jingping - In: Finance and stochastics 17 (2013) 2, pp. 395-417

Persistent link: https://www.econbiz.de/10009730805

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

Two-step risk analysis in insurance ratemaking

Kang, Seul Ki; Peng, Liang; Golub, Andrew - In: Scandinavian actuarial journal 2021 (2021) 6, pp. 532-542

Persistent link: https://www.econbiz.de/10012588357

Risk analysis with categorical explanatory variables

Kang, Seul Ki; Peng, Liang; Xiao, Hongmin - In: Insurance / Mathematics & economics 91 (2020), pp. 238-243

Persistent link: https://www.econbiz.de/10012242018

Nonparametric inference for sensitivity of Haezendonck-Goovaerts risk measure

Wang, Xing; Liu, Qing; Hou, Yanxi; Peng, Liang - In: Scandinavian actuarial journal (2018) 8, pp. 661-680

Persistent link: https://www.econbiz.de/10011939722

Statistical inference for a relative risk measure

He, Yi; Hou, Yanxi; Peng, Liang; Sheng, Jiliang - In: Journal of business & economic statistics : JBES ; a … 37 (2019) 2, pp. 301-311

Persistent link: https://www.econbiz.de/10012177340

Haezendonck-Goovaerts risk measure with a heavy tailed loss

Liu, Qing; Peng, Liang; Wang, Xing - In: Insurance / Mathematics & economics 76 (2017), pp. 28-47

Persistent link: https://www.econbiz.de/10011774767