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Robustification and performance evaluation of empirical risk measures and other vector-valued estimators

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  • Vytaras Brazauskas
  • Bruce L. Jones
  • Ricardas Zitikis

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  • Vytaras Brazauskas & Bruce L. Jones & Ricardas Zitikis, 2007. "Robustification and performance evaluation of empirical risk measures and other vector-valued estimators," Metron - International Journal of Statistics, Dipartimento di Statistica, Probabilità e Statistiche Applicate - University of Rome, vol. 0(2), pages 175-199.
    • Handle: RePEc:mtn:ancoec:070203
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    File URL: https://www.dss.uniroma1.it/RePec/mtn/articoli/2007-2-3.pdf
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    References listed on IDEAS

    as
    1. Thomas Kaiser & Vytaras Brazauskas, 2006. "Interval Estimation of Actuarial Risk Measures," North American Actuarial Journal, Taylor & Francis Journals, vol. 10(4), pages 249-268.
    2. Bruce Jones & Ričardas Zitikis, 2003. "Empirical Estimation of Risk Measures and Related Quantities," North American Actuarial Journal, Taylor & Francis Journals, vol. 7(4), pages 44-54.
    3. Agostino Tarsitano, 2004. "A new class of inequality measures based on a ratio of L-statistics," Metron - International Journal of Statistics, Dipartimento di Statistica, Probabilità e Statistiche Applicate - University of Rome, vol. 0(1), pages 137-160.
    4. Shaun Wang, 1998. "An Actuarial Index of the Right-Tail Risk," North American Actuarial Journal, Taylor & Francis Journals, vol. 2(2), pages 88-101.
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    Cited by:

    1. Darolles, Serge & Gourieroux, Christian & Jasiak, Joann, 2009. "L-performance with an application to hedge funds," Journal of Empirical Finance, Elsevier, vol. 16(4), pages 671-685, September.

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