Risk measures, distortion parameters, and their empirical estimation

DOI10.1016/j.insmatheco.2006.11.001zbMath1193.91065OpenAlexW2001698685MaRDI QIDQ2384453

Ričardas Zitikis, Bruce L. Jones

Publication date: 21 September 2007

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2006.11.001

zbMATH Keywords

asymptotic distributionconsistencyconfidence intervalrisk measureconditional tail expectationWang transformdistortion parameterVervaat processproportional hazards transformPremium principle

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Estimation in survival analysis and censored data (62N02)

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Extremes for coherent risk measures, Loading monotonicity of weighted premiums, and total positivity properties of weight functions, Bregman superquantiles. Estimation methods and applications, ESTIMATION OF RISK MEASURES FROM HEAVY TAILED DISTRIBUTIONS, Statistical estimation of composite risk functionals and risk optimization problems, Estimating L-functionals for heavy-tailed distributions and application, On a family of risk measures based on proportional hazards models and tail probabilities, A robust estimator of the proportional hazard transform for massive data, Smoothed Quantiles for Measuring Discrete Risks, A family of variability measures based on the cumulative residual entropy and distortion functions, Generalized PELVE and applications to risk measures, Statistical foundations for assessing the difference between the classical and weighted-Gini betas, Rates of almost sure convergence of plug-in estimates for distortion risk measures, A nonparametric approach to calculating value-at-risk, Jackknife empirical likelihood method for some risk measures and related quantities, Asymptotic distribution of law-invariant risk functionals, Optimal risk transfer under quantile-based risk measurers, Estimating the distortion parameter of the proportional-hazard premium for heavy-tailed losses, Sensitivity of risk measures with respect to the normal approximation of total claim distributions, Empirical estimation of the proportional hazard premium for heavy-tailed claim amounts, Characterizations of classes of risk measures by dispersive orders, Bias correction for estimated distortion risk measure using the bootstrap, Capital Allocation Using the Bootstrap, Log-supermodularity of weight functions, ordering weighted losses, and the loading monotonicity of weighted premiums, Stochastic comparisons of distorted variability measures, Estimating the distortion parameter of the proportional hazards premium for heavy-tailed losses under Lévy-stable regime, Comparison of risks based on the expected proportional shortfall, Uniform limit theorems for functions of order statistics, Asymptotic consistency of risk functionals, Weighted allocations, their concomitant-based estimators, and asymptotics

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