Adjusted empirical likelihood for value at risk and expected shortfall

DOI10.1080/03610926.2014.1002933MaRDI QIDQ2979015zbMATH OpenOpenAlexFDO

Authors Zhen Yan, Junjian Zhang

Publication date 2 May 2017

Published in Communications in Statistics: Theory and Methods (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/03610926.2014.1002933

zbMATH Keywords

expected shortfallvalue at riskconfidence regioncoverage probabilityadjusted empirical likelihood

Mathematics Subject Classification ID

Nonparametric estimation (62G05) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70)

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Cites work

• Application of Coherent Risk Measures to Capital Requirements in Insurance
• Bounds on coverage probabilities of the empirical likelihood ratio confidence regions.
• Coherent measures of risk
• Nonparametric Estimation and Sensitivity Analysis of Expected Shortfall
• Nonparametric risk management and implied risk aversion
• Semiparametric estimation of Value at Risk

Cited in

(11)

• Nonparametric inference for VaR, CTE, and expectile with high-order precision
• Tabulations for value at risk and expected shortfall
• On the asymptotics of tail conditional expectation for portfolio loss under bivariate Eyraud-Farlie-Gumbel-Morgenstern copula and heavy tails
• Calibrating Distribution Models from PELVE
• Asymptotic behavior of expected shortfall for portfolio loss under bivariate dependent structure
• First and second order asymptotics of the spectral risk measure for portfolio loss under multivariate regular variation
• Probability equivalent level of value at risk and higher-order expected shortfalls
• Adjusted higher-order expected shortfall
• Empirical likelihood-based evaluations of value at risk models
• A confidence interval procedure for expected shortfall risk measurement via two-level simulation
• scientific article; zbMATH DE number 5668415 (Why is no real title available?)

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