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

DOI10.1080/10920277.2004.10596155zbMath1085.62504OpenAlexW2093941591MaRDI QIDQ5715985

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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)

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

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