Centro de Documentación de Fundación MAPFRE - Nonparametric Inference for VaR, CTE, and expectile with high-order precision

MAP20190035354

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. Título.