Credibility estimation based on risk measure of value at risk

MaRDI QIDQ4625508zbMATH OpenFDO

Authors Dongqiong Zhou, Zhiqiang Liu, Limin Wen

Publication date 22 February 2019

zbMATH Keywords

asymptotic normalitycredibility estimatorrisk measurestrong consistencyvalue at risk

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Bayesian inference (62F15) Applications of statistics to actuarial sciences and financial mathematics (62P05)

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• scientific article; zbMATH DE number 939792

Cited in

(7)

• Risk measures in a quantile regression credibility framework with Fama/French data applications
• Credible risk measures with applications in actuarial sciences and finance
• Bayesian estimation of TVaR measure under Pareto-Gamma models
• Bayesian estimation and statistical analysis of risk measurements
• Bayesian estimation of value at risk measure under exponential-Gamma models
• Interval estimation of VaR
• Credibility in Loss Reserving

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