“Empirical Estimation of Risk Measures and Related Quantities,” Bruce L. Jones and Ricǎrdas Zitikis, October 2003

DOI10.1080/10920277.2004.10596155MaRDI QIDQ5715985zbMATH OpenOpenAlexFDO

Authors

Publication date 6 January 2006

Published in North American Actuarial Journal (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/10920277.2004.10596155

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05)

Cited in

(9)

• Interval estimation of actuarial risk measures
• A modified functional delta method and its application to the estimation of risk functionals
• Risk measures, distortion parameters, and their empirical estimation
• Computing and Estimating Distortion Risk Measures: How to Handle Analytically Intractable Cases?
• The Automated Bias-Corrected and Accelerated Bootstrap Confidence Intervals for Risk Measures
• Weighted premium calculation principles
• Smoothed Quantiles for Measuring Discrete Risks
• Modeling severity and measuring tail risk of Norwegian fire claims
• Sensitivity of risk measures with respect to the normal approximation of total claim distributions

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