Nonparametric inference for distortion risk measures on tail regions

DOI10.1016/J.INSMATHECO.2019.09.003zbMATH Open1427.91300OpenAlexW2974952959WikidataQ127217709 ScholiaQ127217709MaRDI QIDQ2010897FDOQ2010897

Authors: Yanxi Hou, Xing Wang 

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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zbMATH Keywords

copulaextreme value theorydistortion risk measurenonparametric methodtail risk analysis

Mathematics Subject Classification ID

Statistics of extreme values; tail inference (62G32) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70)

Cites Work

• Extreme value theory. An introduction.
• 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 (6)

• First- and second-order asymptotics for the tail distortion risk measure of extreme risks
• Statistical inference for tail-based cumulative residual entropy
• Extreme and Inference for Tail Gini Functionals With Applications in Tail Risk Measurement
• Nonparametric Risk Management With Generalized Hyperbolic Distributions
• Measuring the tail risk: an asymptotic approach
• Tail distortion risk and its asymptotic analysis

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