Sensitivity of risk measures with respect to the normal approximation of total claim distributions
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normal approximationtotal claim distributioncoherent risk measuredistortion risk measurerobust representation\(\varphi \)- and \(\alpha \)-mixing sequences of random variablesnonuniform Berry-Esseen inequality
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Cites work
- scientific article; zbMATH DE number 50401 (Why is no real title available?)
- scientific article; zbMATH DE number 3535392 (Why is no real title available?)
- scientific article; zbMATH DE number 1026574 (Why is no real title available?)
- scientific article; zbMATH DE number 1795842 (Why is no real title available?)
- scientific article; zbMATH DE number 3274494 (Why is no real title available?)
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- 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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