Bias correction for estimated distortion risk measure using the bootstrap
From MaRDI portal
Publication:661237
DOI10.1016/j.insmatheco.2010.05.001zbMath1231.62187OpenAlexW2050485049MaRDI QIDQ661237
Publication date: 10 February 2012
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.insmatheco.2010.05.001
Applications of statistics to actuarial sciences and financial mathematics (62P05) Bootstrap, jackknife and other resampling methods (62F40) Portfolio theory (91G10)
Related Items
Bootstrap consistency and bias correction in the nonparametric estimation of risk measures of collective risks, A nonparametric approach to calculating value-at-risk, The connection between distortion risk measures and ordered weighted averaging operators, Risk measurement of a guaranteed annuity option under a stochastic modelling framework, Capital Allocation Using the Bootstrap
Uses Software
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Stochastic orders
- Estimating conditional tail expectation with actuarial applications in view
- Non-additive measure and integral
- Bootstrap approximation of distributions of the \(L\)-statistics
- The jackknife and bootstrap
- Risk measures, distortion parameters, and their empirical estimation
- VaR is subject to a significant positive bias
- Testing hypotheses about the equality of several risk measure values with applications in insurance
- Coherent Measures of Risk
- Estimating the Variance of Bootstrapped Risk Measures
- Conditional Tail Moments of the Exponential Family and Its Related Distributions
- Risk Measures and Comonotonicity: A Review
- NestedL-statistics and their use in comparing the riskiness of portfolios
- The Exact Bootstrap Mean and Variance of an L-estimator
- Applying the Proportional Hazard Premium Calculation Principle
- Quantifying and Correcting the Bias in Estimated Risk Measures
- Efficient Stochastic Modeling for Large and Consolidated Insurance Business: Interest Rate Sampling Algorithms
- Empirical Estimation of Risk Measures and Related Quantities
- Inequalities: theory of majorization and its applications
- The bootstrap and Edgeworth expansion