Robustification and performance evaluation of empirical risk measures and other vector-valued estimators

zbMATH Open1416.62580MaRDI QIDQ2002995FDOQ2002995

Ričardas Zitikis, Vytaras Brazauskas, Bruce L. Jones

Publication date: 12 July 2019

Published in: Metron (Search for Journal in Brave)

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zbMATH Keywords

efficiencyrobustnessnonparametric inferenceparametric inferencedistortion functionrisk measureempirical estimator

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70)

Cited In (4)

• ROBUST AND EFFICIENT FITTING OF SEVERITY MODELS AND THE METHOD OF WINSORIZED MOMENTS
• (Non-)robustness of maximum likelihood estimators for operational risk severity distributions
• Robust fitting of claim severity distributions and the method of trimmed moments
• Weighted premium calculation principles

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