Similar Search Results

Quantile estimation and the statistical relative efficiency curve

Brazauskas, Vytaras - In: Metron - International Journal of Statistics LXVII (2009) 3, pp. 289-301

Persistent link: https://www.econbiz.de/10008671212

Robust and efficient fitting of the generalized Pareto distribution with actuarial applications in view

Brazauskas, Vytaras; Kleefeld, Andreas - In: Insurance / Mathematics & economics 45 (2009) 3, pp. 424-435

Persistent link: https://www.econbiz.de/10008332284

Folded and log-folded-t distributions as models for insurance loss data

Brazauskas, Vytaras; Kleefeld, Andreas - In: Scandinavian actuarial journal : Actuarial Society of … 2011 (2011) 1, pp. 59-75

Persistent link: https://www.econbiz.de/10008846636

Robust–efficient credibility models with heavy-tailed claims: A mixed linear models perspective

Dornheim, Harald; Brazauskas, Vytaras - In: Insurance / Mathematics & economics 48 (2011) 1, pp. 72-85

Persistent link: https://www.econbiz.de/10008768337

Influence functions of empirical nonparametric estimators of net reinsurance premiums

Brazauskas, Vytaras - In: Insurance / Mathematics & economics 32 (2003) 1, pp. 115-134

Persistent link: https://www.econbiz.de/10006891299

Robust and efficient fitting of the generalized Pareto distribution with actuarial applications in view

Brazauskas, Vytaras; Kleefeld, Andreas - In: Insurance / Mathematics & economics 45 (2009) 3, pp. 424-436

Persistent link: https://www.econbiz.de/10008890262

Robust and efficient fitting of severity models and the method of winsorized moments

Zhao, Qian; Brazauskas, Vytaras; Ghorai, Jugal - In: Astin bulletin : the journal of the International … 48 (2018) 1, pp. 275-309

Persistent link: https://www.econbiz.de/10011875603

Modeling severity and measuring tail risk of Norwegian fire claims

Brazauskas, Vytaras; Kleefeld, Andreas - In: North American actuarial journal 20 (2016) 1, pp. 1-16

Persistent link: https://www.econbiz.de/10011721314

Model efficiency and uncertainty in quantile estimation of loss severity distributions

Brazauskas, Vytaras; Upretee, Sahadeb - In: Risks : open access journal 7 (2019) 2/55, pp. 1-16

Quantiles of probability distributions play a central role in the definition of risk measures (e.g., value-at-risk, conditional tail expectation) which in turn are used to capture the riskiness of the distribution tail. Estimates of risk measures are needed in many practical situations such as...

Persistent link: https://www.econbiz.de/10012019119

Comparing the riskiness of dependent portfolios via nested L-statistics

Samanthi, Ranadeera G.M.; Wei, Wei; Brazauskas, Vytaras - In: Annals of actuarial science : publ. by the Institute of … 11 (2017) 2, pp. 213-236

Persistent link: https://www.econbiz.de/10011820567