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

MaRDI QIDQ2002995zbMATH OpenFDO

Authors Vytaras Brazauskas, Bruce L. Jones, Ričardas Zitikis

Publication date 12 July 2019

Published in Metron (Search for Journal in Brave)

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)

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Cited in

(6)

• Interval estimation of actuarial risk measures
• On the asymptotic normality of trimmed and winsorized L -statistics
• (Non-)robustness of maximum likelihood estimators for operational risk severity distributions
• Robust and efficient fitting of severity models and the method of winsorized moments
• Robust fitting of claim severity distributions and the method of trimmed moments
• Weighted premium calculation principles

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