Empirical likelihood inference for Haezendonck-Goovaerts risk measure

DOI10.1007/S13385-015-0113-8zbMATH Open1329.91072OpenAlexW1130558516MaRDI QIDQ903683FDOQ903683

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

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zbMATH Keywords

interval estimationempirical likelihood methodHaezendonck-Goovaerts risk measure

Mathematics Subject Classification ID

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

Cites Work

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• Empirical likelihood and general estimating equations
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• Smoothed empirical likelihood confidence intervals for quantiles
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• Second-order properties of the Haezendonck-Goovaerts risk measure for extreme risks
• Extreme value analysis of the Haezendonck-Goovaerts risk measure with a general Young function
• Optimal portfolios with Haezendonck risk measures
• Asymptotic theory for the empirical Haezendonck-Goovaerts risk measure
• Empirical likelihood based confidence intervals for copulas
• Empirical likelihood for non-smooth criterion functions

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
• Stability properties of Haezendonck-Goovaerts premium principles
• The conditional Haezendonck-Goovaerts risk measure
• Statistical Inference for a Relative Risk Measure
• Asymptotic theory for the empirical Haezendonck-Goovaerts 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

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