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Risk measures, distortion parameters, and their empirical estimation

Citations

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Cited by:

  1. Krätschmer, Volker & Zähle, Henryk, 2011. "Sensitivity of risk measures with respect to the normal approximation of total claim distributions," Insurance: Mathematics and Economics, Elsevier, vol. 49(3), pages 335-344.
  2. Ramon Alemany & Catalina Bolancé & Montserrat Guillén, 2012. "Nonparametric estimation of Value-at-Risk," Working Papers XREAP2012-19, Xarxa de Referència en Economia Aplicada (XREAP), revised Oct 2012.
  3. Wozabal, Nancy, 2009. "Uniform limit theorems for functions of order statistics," Statistics & Probability Letters, Elsevier, vol. 79(12), pages 1450-1455, June.
  4. Henryk Zähle, 2011. "Rates of almost sure convergence of plug-in estimates for distortion risk measures," Metrika: International Journal for Theoretical and Applied Statistics, Springer, vol. 74(2), pages 267-285, September.
  5. Sordo, Miguel A. & Suárez-Llorens, Alfonso, 2011. "Stochastic comparisons of distorted variability measures," Insurance: Mathematics and Economics, Elsevier, vol. 49(1), pages 11-17, July.
  6. Psarrakos, Georgios & Toomaj, Abdolsaeed & Vliora, Polyxeni, 2024. "A family of variability measures based on the cumulative residual entropy and distortion functions," Insurance: Mathematics and Economics, Elsevier, vol. 114(C), pages 212-222.
  7. Nadezhda Gribkova & Ričardas Zitikis, 2019. "Weighted allocations, their concomitant-based estimators, and asymptotics," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 71(4), pages 811-835, August.
  8. Krätschmer, Volker & Zähle, Henryk, 2010. "Sensitivity of risk measures with respect to the normal approximation of total claim distributions," SFB 649 Discussion Papers 2010-033, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
  9. Brahimi, Brahim & Meraghni, Djamel & Necir, Abdelhakim & Zitikis, Ričardas, 2011. "Estimating the distortion parameter of the proportional-hazard premium for heavy-tailed losses," Insurance: Mathematics and Economics, Elsevier, vol. 49(3), pages 325-334.
  10. Georg Pflug & Nancy Wozabal, 2010. "Asymptotic distribution of law-invariant risk functionals," Finance and Stochastics, Springer, vol. 14(3), pages 397-418, September.
  11. Sendov, Hristo S. & Wang, Ying & Zitikis, Ricardas, 2011. "Log-supermodularity of weight functions, ordering weighted losses, and the loading monotonicity of weighted premiums," Insurance: Mathematics and Economics, Elsevier, vol. 48(2), pages 257-264, March.
  12. Kamal Boukhetala & Jean-François Dupuy, 2014. "Colloque International Book of Abstracts Edité par K. Boukhetala et J.F Dupuy," Post-Print hal-01086342, HAL.
  13. Belzunce, Félix & Pinar, José F. & Ruiz, José M. & Sordo, Miguel A., 2012. "Comparison of risks based on the expected proportional shortfall," Insurance: Mathematics and Economics, Elsevier, vol. 51(2), pages 292-302.
  14. Alemany, Ramon & Bolancé, Catalina & Guillén, Montserrat, 2013. "A nonparametric approach to calculating value-at-risk," Insurance: Mathematics and Economics, Elsevier, vol. 52(2), pages 255-262.
  15. Kim, Joseph H.T., 2010. "Bias correction for estimated distortion risk measure using the bootstrap," Insurance: Mathematics and Economics, Elsevier, vol. 47(2), pages 198-205, October.
  16. Brahimi, Brahim & Abdelli, Jihane, 2016. "Estimating the distortion parameter of the proportional hazards premium for heavy-tailed losses under Lévy-stable regime," Insurance: Mathematics and Economics, Elsevier, vol. 70(C), pages 135-143.
  17. Asimit, Alexandru V. & Badescu, Alexandru M. & Verdonck, Tim, 2013. "Optimal risk transfer under quantile-based risk measurers," Insurance: Mathematics and Economics, Elsevier, vol. 53(1), pages 252-265.
  18. Sordo, Miguel A., 2008. "Characterizations of classes of risk measures by dispersive orders," Insurance: Mathematics and Economics, Elsevier, vol. 42(3), pages 1028-1034, June.
  19. Haruyoshi Ito & Jing Ai & Akihiko Ozawa, 2016. "Managing Weather Risks: The Case of J. League Soccer Teams in Japan," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 83(4), pages 877-912, December.
  20. Darinka Dentcheva & Spiridon Penev & Andrzej Ruszczyński, 2017. "Statistical estimation of composite risk functionals and risk optimization problems," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 69(4), pages 737-760, August.
  21. Peng, Liang & Qi, Yongcheng & Wang, Ruodu & Yang, Jingping, 2012. "Jackknife empirical likelihood method for some risk measures and related quantities," Insurance: Mathematics and Economics, Elsevier, vol. 51(1), pages 142-150.
  22. Ramon Alemany & Catalina Bolance & Montserrat Guillen, 2014. "Accounting for severity of risk when pricing insurance products," Working Papers 2014-05, Universitat de Barcelona, UB Riskcenter.
  23. Asimit, Alexandru V. & Li, Jinzhu, 2016. "Extremes for coherent risk measures," Insurance: Mathematics and Economics, Elsevier, vol. 71(C), pages 332-341.
  24. Psarrakos, Georgios & Sordo, Miguel A., 2019. "On a family of risk measures based on proportional hazards models and tail probabilities," Insurance: Mathematics and Economics, Elsevier, vol. 86(C), pages 232-240.
  25. Labopin-Richard T. & Gamboa F. & Garivier A. & Iooss B., 2016. "Bregman superquantiles. Estimation methods and applications," Dependence Modeling, De Gruyter, vol. 4(1), pages 1-33, March.
  26. Necir, Abdelhakim & Meraghni, Djamel, 2009. "Empirical estimation of the proportional hazard premium for heavy-tailed claim amounts," Insurance: Mathematics and Economics, Elsevier, vol. 45(1), pages 49-58, August.
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