Weighted allocations, their concomitant-based estimators, and asymptotics
From MaRDI portal
Publication:2317882
DOI10.1007/s10463-018-0660-2zbMath1433.62295arXiv1710.03305OpenAlexW2964077014WikidataQ129998886 ScholiaQ129998886MaRDI QIDQ2317882
Ričardas Zitikis, N. V. Gribkova
Publication date: 13 August 2019
Published in: Annals of the Institute of Statistical Mathematics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1710.03305
consistencyasymptotic normalityconcomitantinsurance premiuminduced order statisticsweighted allocation
Applications of statistics to actuarial sciences and financial mathematics (62P05) Nonparametric estimation (62G05) Order statistics; empirical distribution functions (62G30) Actuarial mathematics (91G05)
Related Items (5)
Two symmetric and computationally efficient Gini correlations ⋮ Inference for the tail conditional allocation: large sample properties, insurance risk assessment, and compound sums of concomitants ⋮ On the strong law of large numbers for linear combinations of concomitants ⋮ Non-parametric inference for Gini covariance and its variants ⋮ Empirical tail conditional allocation and its consistency under minimal assumptions
Uses Software
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Stochastic finance. An introduction in discrete time.
- The cumulative quantile regression function with censored and truncated response
- Capital allocation for Sarmanov's class of distributions
- Estimating the conditional tail expectation in the case of heavy-tailed losses
- Estimating the distortion parameter of the proportional-hazard premium for heavy-tailed losses
- Empirical estimation of the proportional hazard premium for heavy-tailed claim amounts
- Robust and efficient fitting of the generalized Pareto distribution with actuarial applications in view
- Multivariate Tweedie distributions and some related capital-at-risk analyses
- Risk capital decomposition for a multivariate dependent gamma portfolio
- Dependence measuring from conditional variances
- Weighted premium calculation principles
- Estimating conditional tail expectation with actuarial applications in view
- Weighted risk capital allocations
- A strong law for linear functions of order statistics
- Linear combination of concomitants of order statistics with application to testing and estimation
- Advances in prospect theory: cumulative representation of uncertainty
- Convergence of sample paths of normalized sums of induced order statistics
- Statistical foundations for assessing the difference between the classical and weighted-Gini betas
- Linear functions of order statistics with smooth weight functions
- Economic choice in generalized expected utility theory
- Convergence theorems for empirical cumulative quantile regression functions
- Insurance pricing and increased limits ratemaking by proportional hazards transforms
- Improved confidence intervals for quantiles
- Bias-corrected estimation in distortion risk premiums for heavy-tailed losses
- Kernel-type estimator of the conditional tail expectation for a heavy-tailed distribution
- Risk measures, distortion parameters, and their empirical estimation
- On some multivariate Sarmanov mixed Erlang reinsurance risks: aggregation and capital allocation
- On the cumulative quantile regression process
- Statistical Inference for a New Class of Multivariate Pareto Distributions
- Mathematical Risk Analysis
- Approximation Theorems of Mathematical Statistics
- Statistical estimate of the proportional hazard premium of loss
- Prospect Theory
- Edgeworth Expansion and Normalizing Transformation of Ratio Statistics and Their Application
- A FORM OF MULTIVARIATE PARETO DISTRIBUTION WITH APPLICATIONS TO FINANCIAL RISK MEASUREMENT
- BEYOND THE PEARSON CORRELATION: HEAVY-TAILED RISKS, WEIGHTED GINI CORRELATIONS, AND A GINI-TYPE WEIGHTED INSURANCE PRICING MODEL
- Favorable Estimators for Fitting Pareto Models: A Study Using Goodness-of-fit Measures with Actual Data
- The Asymptotic Distribution of the S–Gini Index
- The Dual Theory of Choice under Risk
- Statistics of Extremes
- Robust and Efficient Fitting of Loss Models
- Cram\'{e}r type large deviations for trimmed L-statistics
- Probability for Statisticians
- Modeling Severity and Measuring Tail Risk of Norwegian Fire Claims
- Asymptotic Distribution of Linear Combinations of Functions of Order Statistics with Applications to Estimation
- Functions of Order Statistics
- Asymptotic Representation of Ratio Statistics and Their Mean Squared Errors
- Empirical Estimation of Risk Measures and Related Quantities
This page was built for publication: Weighted allocations, their concomitant-based estimators, and asymptotics
