Jackknife empirical likelihood method for some risk measures and related quantities

DOI10.1016/j.insmatheco.2012.03.008zbMath1284.62205OpenAlexW2086730995MaRDI QIDQ2444714

Yongcheng Qi, Liang Peng, Ruodu Wang, Jing-Ping Yang

Publication date: 10 April 2014

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

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2012.03.008

zbMATH Keywords

confidence intervalrisk measurejackknife empirical likelihood

Mathematics Subject Classification ID

Parametric tolerance and confidence regions (62F25) Applications of statistics to actuarial sciences and financial mathematics (62P05) Bootstrap, jackknife and other resampling methods (62F40)

Related Items

Jackknife empirical likelihood test for high-dimensional regression coefficients ⋮ Jackknife empirical likelihood-based inferences for Lorenz curve with kernel smoothing ⋮ Parametric measures of variability induced by risk measures ⋮ A robust estimator of the proportional hazard transform for massive data ⋮ Assessing the difference between integrated quantiles and integrated cumulative distribution functions ⋮ A nonparametric approach to calculating value-at-risk ⋮ Stress scenario selection by empirical likelihood ⋮ Nonparametric Inference for VaR, CTE, and Expectile with High-Order Precision ⋮ Assessing the performance of confidence intervals for high quantiles of Burr XII and Inverse Burr mixtures

Uses Software

• emplik

Cites Work

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