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Nonparametric Inference for VaR, CTE, and expectile with high-order precision
Recurso electrónico / Electronic resource
MAP20190035354
Shen, Zhiyi ‌
Nonparametric Inference for VaR, CTE, and expectile with high-order precision / Zhiyi Shen, Yukun Liu, Chengguo Weng
Sumario: This article establishes empirical likelihood-based estimation with high-order precision for these three risk measures. The superiority of the estimation is justified both in theory and via simulation studies
En: North American actuarial journal. - Schaumburg : Society of Actuaries, 1997- = ISSN 1092-0277. - 02/09/2019 Tomo 23 Número 3 - 2019 , p. 364-385
1. Gerencia de riesgos ‌. 2. Cálculo actuarial ‌. 3. Modelos predictivos ‌. 4. Análisis de riesgos ‌. I. Liu, Yukun ‌. II. Weng, Chengguo ‌. III. Title.