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Nonparametric Inference for VaR, CTE, and expectile with high-order precision
Recurso electrónico / Electronic resource
Collection: Articles
Title: Nonparametric Inference for VaR, CTE, and expectile with high-order precision / Zhiyi Shen, Yukun Liu, Chengguo WengAuthor: Shen, Zhiyi ‌
Notes: 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.Related records: En: North American actuarial journal. - Schaumburg : Society of Actuaries, 1997- = ISSN 1092-0277. - 02/09/2019 Tomo 23 Número 3 - 2019 , p. 364-385Materia / lugar / evento: Gerencia de riesgos ‌Cálculo actuarial ‌Modelos predictivos ‌Análisis de riesgos ‌Otros autores: Liu, Yukun ‌
Weng, Chengguo ‌
Other categories: 7
Rights: In Copyright (InC)
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