Nonparametric Inference for VaR, CTE, and expectile with high-order precision

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<title>Nonparametric Inference for VaR, CTE, and expectile with high-order precision</title>
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<namePart>Liu, Yukun</namePart>
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<namePart>Weng, Chengguo</namePart>
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<abstract displayLabel="Summary">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.</abstract>
<note type="statement of responsibility">Zhiyi Shen, Yukun Liu, Chengguo Weng</note>
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<topic>Gerencia de riesgos</topic>
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<topic>Cálculo actuarial</topic>
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<topic>Modelos predictivos</topic>
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<topic>Análisis de riesgos</topic>
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<title>North American actuarial journal</title>
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<publisher>Schaumburg : Society of Actuaries, 1997-</publisher>
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<identifier type="issn">1092-0277</identifier>
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<text>02/09/2019 Tomo 23 Número 3 - 2019 , p. 364-385</text>
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