Nonparametric inference for distortion risk measures on tail regions
DOI10.1016/J.INSMATHECO.2019.09.003zbMATH Open1427.91300OpenAlexW2974952959WikidataQ127217709 ScholiaQ127217709MaRDI QIDQ2010897FDOQ2010897
Publication date: 28 November 2019
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.insmatheco.2019.09.003
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Statistics of extreme values; tail inference (62G32) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70)
Cites Work
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- Estimation of the Marginal Expected Shortfall: the Mean When a Related Variable is Extreme
- The Dual Theory of Choice under Risk
- Tail dependence measure for examining financial extreme co-movements
- Tail distortion risk and its asymptotic analysis
- What attitudes to risk underlie distortion risk measure choices?
- Static portfolio choice under cumulative prospect theory
- ON OPTIMAL INVESTMENT FOR A BEHAVIORAL INVESTOR IN MULTIPERIOD INCOMPLETE MARKET MODELS
- Properties of distortion risk measures
- Extremes for coherent risk measures
- On some new dependence models derived from multivariate collective models in insurance applications
Cited In (3)
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