Sensitivity of risk measures with respect to the normal approximation of total claim distributions

DOI10.1016/J.INSMATHECO.2011.05.004zbMATH Open1228.91040OpenAlexW2022548842MaRDI QIDQ654808FDOQ654808

Authors: Volker Krätschmer, Henryk Zähle

Publication date: 21 December 2011

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: http://sfb649.wiwi.hu-berlin.de/papers/pdf/SFB649DP2010-033.pdf

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normal approximation total claim distribution coherent risk measure distortion risk measure robust representation \(\varphi \)- and \(\alpha \)-mixing sequences of random variables nonuniform Berry-Esseen inequality

Mathematics Subject Classification ID

Cites Work

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Cited In (12)

Extreme value analysis of the Haezendonck-Goovaerts risk measure with a general Young function
A nonparametric approach to calculating value-at-risk
A generalization of expected shortfall based capital allocation
Risk measure preserving piecewise linear approximation of empirical distributions
Bootstrap consistency and bias correction in the nonparametric estimation of risk measures of collective risks
Asymptotic theory for the empirical Haezendonck-Goovaerts risk measure
Marcinkiewicz-Zygmund and ordinary strong laws for empirical distribution functions and plug-in estimators
Estimation of the Haezendonck-Goovaerts risk measure for extreme risks
On the Haezendonck-Goovaerts risk measure for extreme risks
Haezendonck-Goovaerts risk measures and Orlicz quantiles
On the interplay between distortion, mean value and Haezendonck-Goovaerts risk measures
Second-order properties of the Haezendonck-Goovaerts risk measure for extreme risks

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