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Estimating quantile families of loss distributions for non-life insurance modelling via L-moments
Peters, Gareth; Chen, Wilson Ye; Gerlach, Richard H. - In: Risks : open access journal 4 (2016) 2, pp. 1-41
This paper discusses different classes of loss models in non-life insurance settings. It then overviews the class of Tukey transform loss models that have not yet been widely considered in non-life insurance modelling, but offer opportunities to produce flexible skewness and kurtosis features...
Persistent link: https://www.econbiz.de/10011507468
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Fitting a distribution to value-at-risk and expected shortfall, with an application to covered bonds
Tasche, Dirk - In: The journal of credit risk : published quarterly by … 12 (2016) 2, pp. 77-111
Persistent link: https://www.econbiz.de/10011597894
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Testing distributional inequalities and asymptotic bias
Song, Kyungchul (contributor) - 2008
Persistent link: https://www.econbiz.de/10003716905
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Higher moment coherent risk measures
Krokhmal, Pavlo A. - In: Quantitative fund management, (pp. 271-298). 2009
Persistent link: https://www.econbiz.de/10003796963
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A method of moments estimator of tail dependence in elliptical copula models
Krajina, Andrea - 2009
Persistent link: https://www.econbiz.de/10003865602
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Portfoliooptimierung mit Hedgefonds unter Berücksichtigung höherer Momente der Verteilung
Heidorn, Thomas; Kaiser, Dieter G.; Muschiol, Andrea - In: Finanz-Betrieb : FB ; Zeitschrift für … 9 (2007) 6, pp. 371-381
Persistent link: https://www.econbiz.de/10003481294
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Momentum strategies and reward risk stock selection criteria
Jašić, Teo - 2006
Persistent link: https://www.econbiz.de/10003456650
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The problem of data adequacy in applied statistics
Mehrhoff, Jens - 2010
Persistent link: https://www.econbiz.de/10008669010
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Testing distributional assumptions : a GMM approach
Bontemps, Christian (contributor); Meddahi, Nour (contributor) - 2007
Persistent link: https://www.econbiz.de/10003590687
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A method of moments estimator of tail dependence
Einmahl, John H. J. (contributor);  … - 2007
Persistent link: https://www.econbiz.de/10003674635