Inference for the tail conditional allocation: Large sample properties, insurance risk assessment, and compound sums of concomitants
Author:
Publisher
Elsevier BV
Subject
Statistics, Probability and Uncertainty,Economics and Econometrics,Statistics and Probability
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1. Testing for auto-calibration with Lorenz and Concentration curves;Insurance: Mathematics and Economics;2024-07
2. Assessing the coverage probabilities of fixed-margin confidence intervals for the tail conditional allocation;Annals of the Institute of Statistical Mathematics;2024-04-23
3. Assessing the difference between integrated quantiles and integrated cumulative distribution functions;Insurance: Mathematics and Economics;2023-07
4. Estimating the VaR-induced Euler allocation rule;ASTIN Bulletin;2023-05-02
5. Tail Maximal Dependence in Bivariate Models: Estimation and Applications;Mathematical Methods of Statistics;2022-12
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