Sensitivity of risk measures with respect to the normal approximation of total claim distributions
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Keywords
total claim distribution; [phi]- and [alpha]-mixing sequences of random variables; normal approximation; nonuniform Berry-Esseen inequality; distortion risk measure; coherent risk measure; robust representation;All these keywords.
JEL classification:
- G22 - Financial Economics - - Financial Institutions and Services - - - Insurance; Insurance Companies; Actuarial Studies
- G32 - Financial Economics - - Corporate Finance and Governance - - - Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill
NEP fields
This paper has been announced in the following NEP Reports:- NEP-RMG-2010-06-26 (Risk Management)
- NEP-UPT-2010-06-26 (Utility Models and Prospect Theory)
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