The statistical analysis of risk measure in Pareto risk model

DOI10.16357/J.CNKI.ISSN1000-5862.2021.02.16zbMATH Open1488.62191MaRDI QIDQ5017018FDOQ5017018

Authors:

Publication date: 17 December 2021

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zbMATH Keywords

asymptotic normalityconsistencyvalue at riskrisk measure

Mathematics Subject Classification ID

Point estimation (62F10) Asymptotic properties of parametric estimators (62F12) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70) Risk models (general) (91B05)

Cited In (7)

• Estimating a VaR-type ruin measure by Laguerre series expansion in classical compound Poisson risk model
• On the impact of hidden trends for a compound Poisson model with Pareto-type claims
• Bayesian estimation of TVaR measure under Pareto-Gamma models
• Inference and risk measurement with the pari-mutuel model
• The estimate and its large sample properties of Esscher risk measure under collective risk models
• Risk measures and Pareto style tails
• Title not available (Why is that?)

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