Robustification and performance evaluation of empirical risk measures and other vector-valued estimators
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References listed on IDEAS
- Thomas Kaiser & Vytaras Brazauskas, 2006. "Interval Estimation of Actuarial Risk Measures," North American Actuarial Journal, Taylor & Francis Journals, vol. 10(4), pages 249-268.
- 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.
- Shaun Wang, 1998. "An Actuarial Index of the Right-Tail Risk," North American Actuarial Journal, Taylor & Francis Journals, vol. 2(2), pages 88-101.
- 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.
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Cited by:
- 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.
- Serge Darolles & Christian Gourieroux & Joann Jasiak, 2009. "L-performance with an application to hedge funds," Post-Print halshs-00677730, HAL.
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