Interval estimation of actuarial risk measures
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Recommendations
- Risk measures, distortion parameters, and their empirical estimation
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- On robustness in risk theory
- Haezendonck-Goovaerts risk measure with a heavy tailed loss
Cites work
- A synthesis of risk measures for capital adequacy
- A Universal Framework for Pricing Financial and Insurance Risks
- An Actuarial Index of the Right-Tail Risk
- Application of Coherent Risk Measures to Capital Requirements in Insurance
- Approximation Theorems of Mathematical Statistics
- Axiomatic characterization of insurance prices
- Efficient and Robust Fitting of Lognormal Distributions
- Empirical Estimation of Risk Measures and Related Quantities
- Estimating conditional tail expectation with actuarial applications in view
- Favorable Estimators for Fitting Pareto Models: A Study Using Goodness-of-fit Measures with Actual Data
- scientific article; zbMATH DE number 708500 (Why is no real title available?)
- scientific article; zbMATH DE number 1082202 (Why is no real title available?)
- Influence functions of empirical nonparametric estimators of net reinsurance premiums
- Robust and Efficient Estimation of the Tail Index of a Single-Parameter Pareto Distribution
- The Iterated Cte
- Variance of the CTE Estimator
- “Empirical Estimation of Risk Measures and Related Quantities,” Bruce L. Jones and Ricǎrdas Zitikis, October 2003
Cited in
(9)- Robust fitting of claim severity distributions and the method of trimmed moments
- Jackknife empirical likelihood method for some risk measures and related quantities
- Small-sample performance of the MTM and MWM estimators for the parameters of log-location-scale families
- Robust and efficient fitting of loss models
- Modeling severity and measuring tail risk of Norwegian fire claims
- Smoothed Quantiles for Measuring Discrete Risks
- The Automated Bias-Corrected and Accelerated Bootstrap Confidence Intervals for Risk Measures
- Estimating the conditional tail expectation of randomly right-censored heavy-tailed data
- Tolerance intervals for quantiles of bivariate risks and risk measurement
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