Testing for the order of risk measures: an application of L-statistics in actuarial science
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Publication:2002944
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- NestedL-statistics and their use in comparing the riskiness of portfolios
- “An Actuarial Premium Pricing Model for Nonnormal Insurance and Financial Risks in Incomplete Markets”, Zinoviy Landsman and Michael Sherris, January 2007
- ESTIMATION OF RISK MEASURES FROM HEAVY TAILED DISTRIBUTIONS
- A robust estimator of the proportional hazard transform for massive data
- Smoothed Quantiles for Measuring Discrete Risks
- Bounds for some general sums of random variables
- Empirical estimation of the proportional hazard premium for heavy-tailed claim amounts
- Weighted premium calculation principles
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