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The Automated bias-corrected and accelerated bootstrap confidence intervals for risk measures

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1001 ‎$0‎MAPA20220000291‎$a‎Grün, Bettina
24504‎$a‎The Automated bias-corrected and accelerated bootstrap confidence intervals for risk measures‎$c‎Bettina Grun, Tatjana Miljkovic
520  ‎$a‎Different approaches to determining two-sided interval estimators for risk measures such as Value-at-Risk (VaR) and conditional tail expectation (CTE) when modeling loss data exist in the actuarial literature. Two contrasting methods can be distinguished: a nonparametric one not relying on distributional assumptions or a fully parametric one relying on standard asymptotic theory to apply. We complement these approaches and take advantage of currently available computer power to propose the biascorrected and accelerated (BCA) confidence intervals for VaR and CTE.
650 4‎$0‎MAPA20080579258‎$a‎Cálculo actuarial
650 4‎$0‎MAPA20080578848‎$a‎Análisis de datos
650 4‎$0‎MAPA20080601522‎$a‎Evaluación de riesgos
650 4‎$0‎MAPA20210037153‎$a‎Modelos paramétricos
650 4‎$0‎MAPA20080556495‎$a‎Siniestros
7001 ‎$0‎MAPA20190006392‎$a‎Miljkovic, Tatjana
7730 ‎$w‎MAP20077000239‎$g‎04/12/2023 Tomo 27 Número 4 - 2023 , p. 731-750‎$x‎1092-0277‎$t‎North American actuarial journal‎$d‎Schaumburg : Society of Actuaries, 1997-
85600‎$y‎MÁS INFORMACIÓN‎$u‎ mailto:centrodocumentacion@fundacionmapfre.org?subject=Consulta%20de%20una%20publicaci%C3%B3n%20&body=Necesito%20m%C3%A1s%20informaci%C3%B3n%20sobre%20este%20documento%3A%20%0A%0A%5Banote%20aqu%C3%AD%20el%20titulo%20completo%20del%20documento%20del%20que%20desea%20informaci%C3%B3n%20y%20nos%20pondremos%20en%20contacto%20con%20usted%5D%20%0A%0AGracias%20%0A
85600‎$u‎mailto:centrodocumentacion@fundacionmapfre.org?subject=Consulta%20de%20una%20publicaci%C3%B3n%20&body=Necesito%20m%C3%A1s%20informaci%C3%B3n%20sobre%20este%20documento%3A%20%0A%0A%5Banote%20aqu%C3%AD%20el%20titulo%20completo%20del%20documento%20del%20que%20desea%20informaci%C3%B3n%20y%20nos%20pondremos%20en%20contacto%20con%20usted%5D%20%0A%0AGracias%20%0A