Smoothed Quantiles for Measuring Discrete Risks
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Publication:6110491
DOI10.1080/10920277.2022.2071741zbMATH Open1519.91289OpenAlexW4285492554MaRDI QIDQ6110491FDOQ6110491
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
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Cites Work
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- Coherent measures of risk
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- Loss models. From data to decisions
- A new distribution-free quantile estimator
- Risk measures, distortion parameters, and their empirical estimation
- On modeling claim frequency data in general insurance with extra zeros
- Quantile probability and statistical data modeling
- A fractional order statistic towards defining a smooth quantile function for discrete data
- Asymptotic properties of sample quantiles of discrete distributions
- Testing for the order of risk measures: an application of \(L\)-statistics in actuarial science
- NestedL-statistics and their use in comparing the riskiness of portfolios
- Fractional Order Statistics, with Applications
- A nonparametric approach to calculating value-at-risk
- “Empirical Estimation of Risk Measures and Related Quantities,” Bruce L. Jones and Ricǎrdas Zitikis, October 2003
- Non-parametric detection of meaningless distances in high dimensional data
- Interval estimation of actuarial risk measures
Cited In (5)
- A fractional order statistic towards defining a smooth quantile function for discrete data
- Assessing the difference between integrated quantiles and integrated cumulative distribution functions
- Using Smooth Transition Regressions to Model Risk Regimes
- High level quantile approximations of sums of risks
- Measuring Discrete Risks on Infinite Domains: Theoretical Foundations, Conditional Five Number Summaries, and Data Analyses
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