Nonparametric inference for sensitivity of Haezendonck–Goovaerts risk measure (Q4562030): Difference between revisions

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-Liang Peng
@@ Property / author: Liang Peng / rank @@
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+Liang Peng
@@ Property / author: Liang Peng / rank @@
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+MaRDI publication profile
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@@ Property / full work available at URL @@
+https://doi.org/10.1080/03461238.2018.1429299
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+W2794429392
@@ Property / OpenAlex ID: W2794429392 / rank @@
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@@ Property / cites work @@
+Asymptotic theory for the empirical Haezendonck-Goovaerts risk measure
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@@ Property / cites work @@
+Weak convergence of the empirical copula process with respect to weighted metrics
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@@ Property / cites work @@
+Optimal portfolios with Haezendonck risk measures
@@ Property / cites work: Optimal portfolios with Haezendonck risk measures / rank @@
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@@ Property / cites work @@
+Haezendonck-Goovaerts risk measures and Orlicz quantiles
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@@ Property / cites work @@
+SENSITIVITY ANALYSIS OF NONLINEAR BEHAVIOR WITH DISTORTED PROBABILITY
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+Estimation and model selection of semiparametric copula-based multivariate dynamic models under copula misspecification
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+General lower bounds on convex functionals of aggregate sums
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+Risk capital allocation by coherent risk measures based on one-sided moments.
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+Maximum likelihood estimation of pure GARCH and ARMA-GARCH processes
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+Conditional Monte Carlo Estimation of Quantile Sensitivities
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+Some new classes of consistent risk measures
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+On the interplay between distortion, mean value and Haezendonck-Goovaerts risk measures
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+A new premium calculation principle based on Orlicz norms
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+Estimating Quantile Sensitivities
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+Simulating Sensitivities of Conditional Value at Risk
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+Technical Note—On Estimating Quantile Sensitivities via Infinitesimal Perturbation Analysis
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+AN AXIOMATIC APPROACH TO CAPITAL ALLOCATION
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+Self-weighted and local quasi-maximum likelihood estimators for ARMA-GARCH/IGARCH models
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+Kernel estimation of quantile sensitivities
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+Empirical likelihood inference for Haezendonck-Goovaerts risk measure
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+Nonparametric Estimation and Sensitivity Analysis of Expected Shortfall
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+Measuring marginal risk contributions in credit portfolios
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+Extreme value analysis of the Haezendonck-Goovaerts risk measure with a general Young function
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+Inference for intermediate Haezendonck-Goovaerts risk measure
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+Global self-weighted and local quasi-maximum exponential likelihood estimators for ARMA-GARCH/IGARCH models
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+Optimal reinsurance under the Haezendonck risk measure
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@@ links / mardi / name / links / mardi / name @@
+Publication:4562030