A Note on Nonparametric Estimation of the CTE

DOI10.2143/AST.39.2.2044655zbMath1178.62025OpenAlexW2166512814MaRDI QIDQ3653517

Bangwon Ko, Nariankadu D. Shyamalkumar, Ralph P. Russo

Publication date: 22 December 2009

Published in: ASTIN Bulletin (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.2143/ast.39.2.2044655

zbMATH Keywords

exponential distributionuniform distributionPareto distribution

Mathematics Subject Classification ID

Nonparametric estimation (62G05) Order statistics; empirical distribution functions (62G30)

Related Items

Premiums and reserves, adjusted by distortions ⋮ Efficient VaR and CVaR Measurement via Stochastic Kriging ⋮ Insurance pricing under ambiguity ⋮ Bounds for the bias of the empirical CTE ⋮ Large Sample Behavior of the CTE and VaR Estimators under Importance Sampling ⋮ An Asymptotic Analysis of the Bootstrap Bias Correction for the Empirical CTE ⋮ Minimal representation of insurance prices

Uses Software

• R
• Snow

Cites Work

• Unnamed Item
• \texttt{Snow}: A parallel computing framework for the R system
• Coherent Measures of Risk
• Remarks on Some Nonparametric Estimates of a Density Function
• The Exact Bootstrap Mean and Variance of an L-estimator
• Coherent risk measures
• Unbiased Estimation in Convex Families
• “Tail Conditional Expectations for Elliptical Distributions,” Zinoviy M. Landsman and Emiliano A. Valdez, October 2003