Nonparametric Inference for VaR, CTE, and expectile with high-order precision
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| Tag | 1 | 2 | Valor |
|---|---|---|---|
| LDR | 00000cab a2200000 4500 | ||
| 001 | MAP20190035354 | ||
| 003 | MAP | ||
| 005 | 20200102153152.0 | ||
| 008 | 191227e20190902usa|||p |0|||b|eng d | ||
| 040 | $aMAP$bspa$dMAP | ||
| 084 | $a7 | ||
| 100 | $0MAPA20190016827$aShen, Zhiyi | ||
| 245 | 1 | 0 | $aNonparametric Inference for VaR, CTE, and expectile with high-order precision$cZhiyi Shen, Yukun Liu, Chengguo Weng |
| 520 | $aThis 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. | ||
| 650 | 4 | $0MAPA20080591182$aGerencia de riesgos | |
| 650 | 4 | $0MAPA20080579258$aCálculo actuarial | |
| 650 | 4 | $0MAPA20080592059$aModelos predictivos | |
| 650 | 4 | $0MAPA20080588953$aAnálisis de riesgos | |
| 700 | 1 | $0MAPA20190016834$aLiu, Yukun | |
| 700 | 1 | $0MAPA20080119546$aWeng, Chengguo | |
| 773 | 0 | $wMAP20077000239$tNorth American actuarial journal$dSchaumburg : Society of Actuaries, 1997-$x1092-0277$g02/09/2019 Tomo 23 Número 3 - 2019 , p. 364-385 |