Inference for intermediate Haezendonck-Goovaerts risk measure

DOI10.1016/J.INSMATHECO.2016.03.015MaRDI QIDQ320308zbMATH OpenOpenAlexFDO

Authors Xing Wang, Liang Peng

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

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)

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Cites work

• scientific article; zbMATH DE number 5604036 (Why is no real title available?)
• scientific article; zbMATH DE number 4000257 (Why is no real title available?)
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• Empirical likelihood
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• Empirical likelihood method for intermediate quantiles
• Empirical likelihood ratio confidence regions
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• On univariate extreme value statistics and the estimation of reinsurance premiums
• Optimal portfolios with Haezendonck risk measures
• Optimal reinsurance under the Haezendonck risk measure
• Regression modeling with actuarial and financial applications.
• Second-order properties of the Haezendonck-Goovaerts risk measure for extreme risks
• Some new classes of consistent risk measures
• The jackknife and bootstrap

Cited in

(11)

• Nonparametric inference for VaR, CTE, and expectile with high-order precision
• A generalization of expected shortfall based capital allocation
• Nonparametric inference for sensitivity of Haezendonck-Goovaerts risk measure
• Dynamic robust Orlicz premia and Haezendonck-Goovaerts risk measures
• The conditional Haezendonck-Goovaerts risk measure
• Stability properties of Haezendonck-Goovaerts premium principles
• Statistical Inference for a Relative Risk Measure
• Empirical likelihood inference for 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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