Measuring and comparing risks of different types

DOI10.1016/J.INSMATHECO.2021.11.001MaRDI QIDQ2670105zbMATH OpenOpenAlexFDO

Authors Maximilian Aigner, V. Chavez-Demoulin, Armelle Guillou

Publication date 10 March 2022

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

Full work available at URL https://doi.org/10.1016/j.insmatheco.2021.11.001

zbMATH Keywords

\(\beta\)-mixingasymptotically unbiased estimatorconvergence in distributionexpected proportional shortfallhypothesis testing

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Actuarial mathematics (91G05)

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Cites work

• A self-normalized approach to confidence interval construction in time series
• A simple general approach to inference about the tail of a distribution
• A test for comparing tail indices for heavy-tailed distributions via empirical likelihood
• Asymptotically unbiased estimation of the coefficient of tail dependence
• Asymptotics of the shorth plot
• Change point tests for the tail index of -mixing random variables
• Coherent measures of risk
• Comparison of risks based on the expected proportional shortfall
• Detecting tail risk differences in multivariate time series
• Elements of Distribution Theory
• Extreme quantile estimation for \(\beta\)-mixing time series and applications
• Extreme quantile estimation for dependent data, with applications to finance
• Extreme value theory. An introduction.
• Self-Normalization for Time Series: A Review of Recent Developments
• Semi-parametric estimation of the second order parameter in statistics of extremes
• Simple Robust Testing of Regression Hypotheses
• Some limit theorems for fractional Lévy Brownian fields
• Testing That a Dependent Process Is Uncorrelated
• Weighted approximations of tail processes for \(\beta\)-mixing random variables.

Cited in

(3)

• A quantitative comparison of risk measures
• Different Kinds of Risk
• A conditional tail expectation type risk measure for time series

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