Nonparametric inference for sensitivity of Haezendonck–Goovaerts risk measure-Reference-Cited by-同舟云学术

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Nonparametric inference for sensitivity of Haezendonck–Goovaerts risk measure

Published:2018-02-02 Issue:8 Volume:2018 Page:661-680
ISSN:0346-1238
Container-title:Scandinavian Actuarial Journal
language:en
Short-container-title:Scandinavian Actuarial Journal

Author:

Wang Xing¹,Liu Qing²,Hou Yanxi³,Peng Liang¹

Affiliation:

1. Department of Risk Management and Insurance, Georgia State University, Atlanta, GA, USA.

2. School of Statistics and Research Center of Applied Statistics, Jiangxi University of Finance and Economics, Nanchang, P.R. China.

3. School of Mathematics, Georgia Institute of Technology, Atlanta, GA, USA.

Funder

Education Department of Jiangxi Province

Natural Science Foundation of Jiangxi Province

Publisher

Informa UK Limited

Subject

Statistics, Probability and Uncertainty,Economics and Econometrics,Statistics and Probability

Link

https://www.tandfonline.com/doi/pdf/10.1080/03461238.2018.1429299

Reference31 articles.

1. Asymptotic theory for the empirical Haezendonck–Goovaerts risk measure

2. Weak convergence of the empirical copula process with respect to weighted metrics

3. On Haezendonck risk measures

4. Optimal portfolios with Haezendonck risk measures

5. Haezendonck–Goovaerts risk measures and Orlicz quantiles

Cited by 6 articles. 订阅此论文施引文献订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献

1. Tails of higher-order moments of sums with heavy-tailed increments and application to the Haezendonck–Goovaerts risk measure;Statistics & Probability Letters;2021-03

2. Estimation of the Haezendonck-Goovaerts risk measure for extreme risks;Scandinavian Actuarial Journal;2021-01-07

3. Stability properties of Haezendonck–Goovaerts premium principles;Insurance: Mathematics and Economics;2020-09

4. Tails of higher-order moments with dominatedly varying summands∗;Lithuanian Mathematical Journal;2019-07

5. Nonparametric Inference for VaR, CTE, and Expectile with High-Order Precision;North American Actuarial Journal;2019-05-09

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