Inference for intermediate Haezendonck-Goovaerts risk measure

DOI10.1016/J.INSMATHECO.2016.03.015zbMATH Open1369.91101OpenAlexW2334961550MaRDI QIDQ320308FDOQ320308

Liang Peng, Xing Wang

Publication date: 6 October 2016

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

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2016.03.015

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• Second-order properties of the Haezendonck-Goovaerts risk measure for extreme risks
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zbMATH Keywords

nonparametric estimationempirical likelihood methodHaezendonck-Goovaerts risk measureintermediate quantilesWilks theorem

Mathematics Subject Classification ID

Asymptotic properties of nonparametric inference (62G20) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Cites Work

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• Asymptotic theory for the empirical Haezendonck-Goovaerts risk measure
• Empirical likelihood inference for Haezendonck-Goovaerts risk measure
• Empirical likelihood method for intermediate quantiles
• Estimating catastrophic quantile levels for heavy-tailed distributions

Cited In (10)

• A generalization of expected shortfall based capital allocation
• Dynamic robust Orlicz premia and Haezendonck-Goovaerts risk measures
• Stability properties of Haezendonck-Goovaerts premium principles
• The conditional Haezendonck-Goovaerts risk measure
• Statistical Inference for a Relative Risk Measure
• Nonparametric Inference for VaR, CTE, and Expectile with High-Order Precision
• Nonparametric inference for sensitivity of Haezendonck–Goovaerts risk measure
• Estimation of the Haezendonck-Goovaerts risk measure for extreme risks
• Optimal multivariate quota-share reinsurance: a nonparametric mean-CVaR framework
• Haezendonck-Goovaerts risk measure with a heavy tailed loss

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