scientific article; zbMATH DE number 6533238
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Publication:3463829
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- Robust estimator of distortion risk premiums for heavy-tailed losses
- Estimating the distortion parameter of the proportional-hazard premium for heavy-tailed losses
- Bias-corrected estimation in distortion risk premiums for heavy-tailed losses
- Estimation of the distortion risk premium for heavy-tailed losses under serial dependence
- Risk measures, distortion parameters, and their empirical estimation
- ESTIMATION OF RISK MEASURES FROM HEAVY TAILED DISTRIBUTIONS
- Estimating the distortion parameter of the proportional hazards premium for heavy-tailed losses under Lévy-stable regime
- Kernel-type estimators for the distortion risk premiums of heavy-tailed distributions
- Distortion risk measures for sums of dependent losses
- Remarks on quantiles and distortion risk measures
Cited in
(10)- Bias-reduced estimation of Wang's two-sided deviation risk measure under Lévy-stable regime
- Bias-corrected estimation in distortion risk premiums for heavy-tailed losses
- Haezendonck-Goovaerts risk measure with a heavy tailed loss
- Estimating the distortion parameter of the proportional hazards premium for heavy-tailed losses under Lévy-stable regime
- Robust estimator of distortion risk premiums for heavy-tailed losses
- Extreme versions of Wang risk measures and their estimation for heavy-tailed distributions
- Estimation of the distortion risk premium for heavy-tailed losses under serial dependence
- Kernel-type estimators for the distortion risk premiums of heavy-tailed distributions
- Computing Sensitivities for Distortion Risk Measures
- AN IMPROVED ESTIMATOR OF DISTORTION RISK PREMIUMS UNDER DEPENDENCE INSURED RISKS WITH HEAVY-TAILED MARGINALS
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