Empirical likelihood inference for Haezendonck-Goovaerts risk measure

DOI10.1007/s13385-015-0113-8zbMath1329.91072OpenAlexW1130558516MaRDI QIDQ903683

Xing Wang, Liang Peng, YanTing Zheng

Publication date: 15 January 2016

Published in: European Actuarial Journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s13385-015-0113-8

zbMATH Keywords

interval estimationempirical likelihood methodHaezendonck-Goovaerts risk measure

Mathematics Subject Classification ID

Related Items (10)

Inference for intermediate Haezendonck-Goovaerts risk measure ⋮ Nonparametric inference for sensitivity of Haezendonck–Goovaerts risk measure ⋮ A class of distortion measures generated from expectile and its estimation ⋮ Haezendonck-Goovaerts risk measure with a heavy tailed loss ⋮ Stability properties of Haezendonck-Goovaerts premium principles ⋮ A generalization of expected shortfall based capital allocation ⋮ Optimal multivariate quota-share reinsurance: a nonparametric mean-CVaR framework ⋮ Dynamic robust Orlicz premia and Haezendonck-Goovaerts risk measures ⋮ Estimation of the Haezendonck-Goovaerts risk measure for extreme risks ⋮ Nonparametric Inference for VaR, CTE, and Expectile with High-Order Precision

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