Empirical likelihood inference for Haezendonck-Goovaerts risk measure

DOI10.1007/S13385-015-0113-8MaRDI QIDQ903683zbMATH OpenOpenAlexFDO

Authors Liang Peng, Xing Wang, YanTing Zheng

Publication date 15 January 2016

Published in European Actuarial Journal (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s13385-015-0113-8

zbMATH Keywords

interval estimationempirical likelihood methodHaezendonck-Goovaerts risk measure

Mathematics Subject Classification ID

Nonparametric estimation (62G05) Nonparametric tolerance and confidence regions (62G15)

Recommendations

• Inference for intermediate Haezendonck-Goovaerts risk measure
• Haezendonck-Goovaerts risk measure with a heavy tailed loss
• Asymptotic theory for the empirical Haezendonck-Goovaerts risk measure
• Estimation of the Haezendonck-Goovaerts risk measure for extreme risks
• Nonparametric inference for sensitivity of Haezendonck-Goovaerts risk measure

Cites work

• scientific article; zbMATH DE number 5604036 (Why is no real title available?)
• A new premium calculation principle based on Orlicz norms
• Asymptotic theory for the empirical Haezendonck-Goovaerts risk measure
• Confidence regions for high quantiles of a heavy tailed distribution
• Empirical likelihood
• Empirical likelihood and general estimating equations
• Empirical likelihood based confidence intervals for copulas
• Empirical likelihood for non-smooth criterion functions
• Empirical likelihood ratio confidence regions
• Extreme value analysis of the Haezendonck-Goovaerts risk measure with a general Young function
• General lower bounds on convex functionals of aggregate sums
• Haezendonck-Goovaerts risk measures and Orlicz quantiles
• Interval estimation of value-at-risk based on GARCH models with heavy-tailed innovations
• On the Haezendonck-Goovaerts risk measure for extreme risks
• On the interplay between distortion, mean value and Haezendonck-Goovaerts risk measures
• Optimal portfolios with Haezendonck risk measures
• Optimal reinsurance under the Haezendonck risk measure
• Second-order properties of the Haezendonck-Goovaerts risk measure for extreme risks
• Smoothed empirical likelihood confidence intervals for quantiles
• Some new classes of consistent risk measures

Cited in

(13)

• Nonparametric inference for VaR, CTE, and expectile with high-order precision
• A generalization of expected shortfall based capital allocation
• Nonparametric inference for sensitivity of Haezendonck-Goovaerts risk measure
• Dynamic robust Orlicz premia and Haezendonck-Goovaerts risk measures
• Inference for intermediate Haezendonck-Goovaerts risk measure
• The conditional Haezendonck-Goovaerts risk measure
• Stability properties of Haezendonck-Goovaerts premium principles
• Asymptotic theory for the empirical Haezendonck-Goovaerts risk measure
• Statistical Inference for a Relative Risk Measure
• Estimation of the Haezendonck-Goovaerts risk measure for extreme risks
• Optimal multivariate quota-share reinsurance: a nonparametric mean-CVaR framework
• Haezendonck-Goovaerts risk measure with a heavy tailed loss
• A class of distortion measures generated from expectile and its estimation

This page was built for publication: Empirical likelihood inference for Haezendonck-Goovaerts risk measure

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q903683)