Inference for intermediate Haezendonck-Goovaerts risk measure
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Publication:320308
DOI10.1016/j.insmatheco.2016.03.015zbMath1369.91101OpenAlexW2334961550MaRDI QIDQ320308
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
nonparametric estimationempirical likelihood methodHaezendonck-Goovaerts risk measureintermediate quantilesWilks theorem
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Related Items (8)
Nonparametric inference for sensitivity of Haezendonck–Goovaerts risk measure ⋮ Haezendonck-Goovaerts risk measure with a heavy tailed loss ⋮ Stability properties of Haezendonck-Goovaerts premium principles ⋮ A generalization of expected shortfall based capital allocation ⋮ Optimal multivariate quota-share reinsurance: a nonparametric mean-CVaR framework ⋮ Dynamic robust Orlicz premia and Haezendonck-Goovaerts risk measures ⋮ Estimation of the Haezendonck-Goovaerts risk measure for extreme risks ⋮ Nonparametric Inference for VaR, CTE, and Expectile with High-Order Precision
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