Smoothed Quantiles for Measuring Discrete Risks

DOI10.1080/10920277.2022.2071741MaRDI QIDQ6110491zbMATH OpenOpenAlexFDO

Authors Vytaras Brazauskas

Publication date 1 August 2023

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

Full work available at URL https://doi.org/10.1080/10920277.2022.2071741

Mathematics Subject Classification ID

Nonparametric regression and quantile regression (62G08) Statistical methods; risk measures (91G70)

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Cites work

• A fractional order statistic towards defining a smooth quantile function for discrete data
• A new distribution-free quantile estimator
• A nonparametric approach to calculating value-at-risk
• Approximation Theorems of Mathematical Statistics
• Asymptotic properties of sample quantiles of discrete distributions
• Coherent measures of risk
• Empirical Estimation of Risk Measures and Related Quantities
• Estimating conditional tail expectation with actuarial applications in view
• Fractional Order Statistics, with Applications
• Interval estimation of actuarial risk measures
• Loss models. From data to decisions
• NestedL-statistics and their use in comparing the riskiness of portfolios
• Non-parametric detection of meaningless distances in high dimensional data
• On modeling claim frequency data in general insurance with extra zeros
• Quantile probability and statistical data modeling
• Risk measures, distortion parameters, and their empirical estimation
• Testing for the order of risk measures: an application of \(L\)-statistics in actuarial science
• “Empirical Estimation of Risk Measures and Related Quantities,” Bruce L. Jones and Ricǎrdas Zitikis, October 2003

Cited in

(5)

• Using Smooth Transition Regressions to Model Risk Regimes
• A fractional order statistic towards defining a smooth quantile function for discrete data
• Assessing the difference between integrated quantiles and integrated cumulative distribution functions
• Measuring Discrete Risks on Infinite Domains: Theoretical Foundations, Conditional Five Number Summaries, and Data Analyses
• High level quantile approximations of sums of risks

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