Nonparametric estimation of operational value-at-risk (OpVaR)

DOI10.1016/j.insmatheco.2016.05.010zbMath1373.62532OpenAlexW2407696475MaRDI QIDQ343993

Ainura Tursunalieva, Paramsothy Silvapulle

Publication date: 21 November 2016

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

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2016.05.010

zbMATH Keywords

simulationrisk analysisoperational riskempirical likelihood confidence bandloss severity distribution

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70) Nonparametric tolerance and confidence regions (62G15)

Related Items

Sparse estimation within Pearson's system, with an application to financial market risk

Cites Work

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• Confidence regions for high quantiles of a heavy tailed distribution
• Data Tilting for Time Series