Coupled Risk Measures and Their Empirical Estimation When Losses Follow Heavy-Tailed Distributions-Reference-Cited by-同舟云学术

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Coupled Risk Measures and Their Empirical Estimation When Losses Follow Heavy-Tailed Distributions

Published:2011 Issue: Volume: Page:
ISSN:1556-5068
Container-title:SSRN Electronic Journal
language:en
Short-container-title:SSRN Journal

Author:

Necir Abdelhakim,Zitikis Ricardas

Publisher

Elsevier BV

Reference29 articles.

1. Statistics of Extremes;J Beirlant;Theory and Applications,2004

2. Robustification and performance evaluation of empirical risk measures and other vector-valued estimators. Metron -International;V Brazauskas;Journal of Statistics,2007

3. Robust fitting of claim severity distributions and the method of trimmed moments;V Brazauskas;Journal of Statistical Planning and Inference,2009

4. Estimating conditional tail expectation with actuarial applications in view;V Brazauskas;Multivariate Analysis and Statistical Inference,2008

Cited by 1 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. Non-parametric Estimation of Extreme Risk Measures from Conditional Heavy-tailed Distributions;Scandinavian Journal of Statistics;2014-02-18

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