Variance of the CTE Estimator

DOI10.1080/10920277.2005.10596207MaRDI QIDQ5716030zbMATH OpenOpenAlexFDO

Authors B. John Manistre, Geoffrey H. Hancock

Publication date 6 January 2006

Published in North American Actuarial Journal (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/10920277.2005.10596207

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05)

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Cites work

• A Regime-Switching Model of Long-Term Stock Returns
• Application of Coherent Risk Measures to Capital Requirements in Insurance
• Empirical Estimation of Risk Measures and Related Quantities
• Investment guarantees: Modeling and risk management for equity-linked life insurance

Cited in

(23)

• Top-down approaches for integrated risk management: how accurate are they?
• Estimating extreme tail risk measures with generalized Pareto distribution
• Risk measurement of a guaranteed annuity option under a stochastic modelling framework
• Credibility theory based on trimming
• Credible risk measures with applications in actuarial sciences and finance
• An asymptotic analysis of the bootstrap bias correction for the empirical CTE
• Iterative estimation maximization for stochastic linear programs with conditional value-at-risk constraints
• Frequentist inference in insurance ratemaking models adjusting for misrepresentation
• Approximation methods for multiple period Value at Risk and Expected Shortfall prediction
• Interval estimation of actuarial risk measures
• “Cash Flow Matching: A Risk Management Approach”, Garud Iyengar and Alfred Ka Chun Ma, July, 2009
• Large sample behavior of the CTE and VaR estimators under importance sampling
• Marshall-Olkin distributions, subordinators, efficient simulation, and applications to credit risk
• Nonparametric inference for VaR, CTE, and expectile with high-order precision
• Modeling Hidden Exposures in Claim Severity Via the Em Algorithm
• Asymptotic analysis of the loss given default in the presence of multivariate regular variation
• Estimating the conditional tail expectation in the case of heavy-tailed losses
• The Automated Bias-Corrected and Accelerated Bootstrap Confidence Intervals for Risk Measures
• Bounds for the bias of the empirical CTE
• Asymptotic normality of the conditional value-at-risk based Pickands estimator
• Fixed values versus empirical quantiles as thresholds in excess distribution modelling
• Asymptotic theory for the empirical Haezendonck-Goovaerts risk measure
• Estimating conditional tail expectation with actuarial applications in view

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