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

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+Liang Peng
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+MaRDI publication profile
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+https://doi.org/10.1080/03461238.2018.1429299
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+W2794429392
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@@ Property / cites work @@
+Asymptotic theory for the empirical Haezendonck-Goovaerts risk measure
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+Weak convergence of the empirical copula process with respect to weighted metrics
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+Optimal portfolios with Haezendonck risk measures
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+Haezendonck-Goovaerts risk measures and Orlicz quantiles
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+SENSITIVITY ANALYSIS OF NONLINEAR BEHAVIOR WITH DISTORTED PROBABILITY
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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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