Deme, El Hadji; Allaya, Mouhamad M.; Deme, Siradhi; Dhaker, Hamza; Dabye, Ali Souleyman Estimation of risk measures from heavy tailed distributions. (English) Zbl 07508900 Far East J. Theor. Stat. 62, No. 1, 35-80 (2021). MSC: 62E10 PDF BibTeX XML Cite \textit{E. H. Deme} et al., Far East J. Theor. Stat. 62, No. 1, 35--80 (2021; Zbl 07508900) Full Text: DOI OpenURL
Psarrakos, Georgios; Vliora, Polyxeni Sensitivity analysis and tail variability for the Wang’s actuarial index. (English) Zbl 1466.91267 Insur. Math. Econ. 98, 147-152 (2021). MSC: 91G05 PDF BibTeX XML Cite \textit{G. Psarrakos} and \textit{P. Vliora}, Insur. Math. Econ. 98, 147--152 (2021; Zbl 1466.91267) Full Text: DOI OpenURL
Tzougas, George; Karlis, Dimitris An EM algorithm for fitting a new class of mixed exponential regression models with varying dispersion. (English) Zbl 1447.91149 ASTIN Bull. 50, No. 2, 555-583 (2020). MSC: 91G05 62P05 PDF BibTeX XML Cite \textit{G. Tzougas} and \textit{D. Karlis}, ASTIN Bull. 50, No. 2, 555--583 (2020; Zbl 1447.91149) Full Text: DOI Link OpenURL
Daouia, Abdelaati; Gijbels, Irène; Stupfler, Gilles Extremiles: a new perspective on asymmetric least squares. (English) Zbl 1428.62198 J. Am. Stat. Assoc. 114, No. 527, 1366-1381 (2019). MSC: 62G32 PDF BibTeX XML Cite \textit{A. Daouia} et al., J. Am. Stat. Assoc. 114, No. 527, 1366--1381 (2019; Zbl 1428.62198) Full Text: DOI Link OpenURL
Shen, Zhiyi; Liu, Yukun; Weng, Chengguo Nonparametric inference for VaR, CTE, and expectile with high-order precision. (English) Zbl 1426.91311 N. Am. Actuar. J. 23, No. 3, 364-385 (2019). MSC: 91G70 62P05 62G05 PDF BibTeX XML Cite \textit{Z. Shen} et al., N. Am. Actuar. J. 23, No. 3, 364--385 (2019; Zbl 1426.91311) Full Text: DOI OpenURL
Gribkova, Nadezhda; Zitikis, Ričardas Weighted allocations, their concomitant-based estimators, and asymptotics. (English) Zbl 1433.62295 Ann. Inst. Stat. Math. 71, No. 4, 811-835 (2019). MSC: 62P05 62G05 91G05 62G30 PDF BibTeX XML Cite \textit{N. Gribkova} and \textit{R. Zitikis}, Ann. Inst. Stat. Math. 71, No. 4, 811--835 (2019; Zbl 1433.62295) Full Text: DOI arXiv OpenURL
Psarrakos, Georgios; Sordo, Miguel A. On a family of risk measures based on proportional hazards models and tail probabilities. (English) Zbl 1411.91309 Insur. Math. Econ. 86, 232-240 (2019). MSC: 91B30 PDF BibTeX XML Cite \textit{G. Psarrakos} and \textit{M. A. Sordo}, Insur. Math. Econ. 86, 232--240 (2019; Zbl 1411.91309) Full Text: DOI OpenURL
Dentcheva, Darinka; Penev, Spiridon; Ruszczyński, Andrzej Statistical estimation of composite risk functionals and risk optimization problems. (English) Zbl 1447.62119 Ann. Inst. Stat. Math. 69, No. 4, 737-760 (2017). Reviewer: Tamás Mátrai (Edinburgh) MSC: 62P05 60F17 62G05 62G20 62R10 91G70 PDF BibTeX XML Cite \textit{D. Dentcheva} et al., Ann. Inst. Stat. Math. 69, No. 4, 737--760 (2017; Zbl 1447.62119) Full Text: DOI arXiv OpenURL
Brazauskas, Vytaras; Kleefeld, Andreas Modeling severity and measuring tail risk of Norwegian fire claims. (English) Zbl 1414.62415 N. Am. Actuar. J. 20, No. 1, 1-16 (2016). MSC: 62P05 91B30 PDF BibTeX XML Cite \textit{V. Brazauskas} and \textit{A. Kleefeld}, N. Am. Actuar. J. 20, No. 1, 1--16 (2016; Zbl 1414.62415) Full Text: DOI OpenURL
Asimit, Alexandru V.; Li, Jinzhu Extremes for coherent risk measures. (English) Zbl 1371.91075 Insur. Math. Econ. 71, 332-341 (2016). MSC: 91B30 62P05 60G70 62G32 PDF BibTeX XML Cite \textit{A. V. Asimit} and \textit{J. Li}, Insur. Math. Econ. 71, 332--341 (2016; Zbl 1371.91075) Full Text: DOI Link OpenURL
Brahimi, Brahim; Abdelli, Jihane Estimating the distortion parameter of the proportional hazards premium for heavy-tailed losses under Lévy-stable regime. (English) Zbl 1373.62512 Insur. Math. Econ. 70, 135-143 (2016). MSC: 62P05 62G32 91B30 PDF BibTeX XML Cite \textit{B. Brahimi} and \textit{J. Abdelli}, Insur. Math. Econ. 70, 135--143 (2016; Zbl 1373.62512) Full Text: DOI OpenURL
Labopin-Richard, T.; Gamboa, F.; Garivier, A.; Iooss, B. Bregman superquantiles. Estimation methods and applications. (English) Zbl 1348.62076 Depend. Model. 4, 76-108 (2016). MSC: 62F12 62L12 62P05 62P30 PDF BibTeX XML Cite \textit{T. Labopin-Richard} et al., Depend. Model. 4, 76--108 (2016; Zbl 1348.62076) Full Text: DOI arXiv OpenURL
Asimit, Alexandru V.; Chi, Yichun; Hu, Junlei Optimal non-life reinsurance under Solvency II regime. (English) Zbl 1348.91127 Insur. Math. Econ. 65, 227-237 (2015). MSC: 91B30 62P05 PDF BibTeX XML Cite \textit{A. V. Asimit} et al., Insur. Math. Econ. 65, 227--237 (2015; Zbl 1348.91127) Full Text: DOI Link OpenURL
Ahn, Jae Youn; Shyamalkumar, Nariankadu D. Asymptotic theory for the empirical Haezendonck-Goovaerts risk measure. (English) Zbl 1296.91142 Insur. Math. Econ. 55, 78-90 (2014). MSC: 91B30 62G20 62G30 PDF BibTeX XML Cite \textit{J. Y. Ahn} and \textit{N. D. Shyamalkumar}, Insur. Math. Econ. 55, 78--90 (2014; Zbl 1296.91142) Full Text: DOI OpenURL
Asimit, Alexandru V.; Badescu, Alexandru M.; Cheung, Ka Chun Optimal reinsurance in the presence of counterparty default risk. (English) Zbl 1290.91074 Insur. Math. Econ. 53, No. 3, 690-697 (2013). MSC: 91B30 PDF BibTeX XML Cite \textit{A. V. Asimit} et al., Insur. Math. Econ. 53, No. 3, 690--697 (2013; Zbl 1290.91074) Full Text: DOI Link OpenURL
Asimit, Alexandru V.; Badescu, Alexandru M.; Verdonck, Tim Optimal risk transfer under quantile-based risk measurers. (English) Zbl 1284.91199 Insur. Math. Econ. 53, No. 1, 252-265 (2013). MSC: 91B30 PDF BibTeX XML Cite \textit{A. V. Asimit} et al., Insur. Math. Econ. 53, No. 1, 252--265 (2013; Zbl 1284.91199) Full Text: DOI Link OpenURL
Kim, Joseph H. T.; Jeon, Yongho Credibility theory based on trimming. (English) Zbl 1284.91245 Insur. Math. Econ. 53, No. 1, 36-47 (2013). MSC: 91B30 PDF BibTeX XML Cite \textit{J. H. T. Kim} and \textit{Y. Jeon}, Insur. Math. Econ. 53, No. 1, 36--47 (2013; Zbl 1284.91245) Full Text: DOI OpenURL
Deme, El Hadji; Girard, Stéphane; Guillou, Armelle Reduced-bias estimator of the Proportional Hazard Premium for heavy-tailed distributions. (English) Zbl 1284.62211 Insur. Math. Econ. 52, No. 3, 550-559 (2013). MSC: 62G05 62G20 91B30 PDF BibTeX XML Cite \textit{E. H. Deme} et al., Insur. Math. Econ. 52, No. 3, 550--559 (2013; Zbl 1284.62211) Full Text: DOI HAL OpenURL
Yu, Keming; Wang, Bing Xing; Patilea, Valentin New estimating equation approaches with application in lifetime data analysis. (English) Zbl 1396.62069 Ann. Inst. Stat. Math. 65, No. 3, 589-615 (2013). MSC: 62G05 62G20 62N01 62N05 PDF BibTeX XML Cite \textit{K. Yu} et al., Ann. Inst. Stat. Math. 65, No. 3, 589--615 (2013; Zbl 1396.62069) Full Text: DOI OpenURL
Belzunce, Félix; Pinar, José F.; Ruiz, José M.; Sordo, Miguel A. Comparison of risks based on the expected proportional shortfall. (English) Zbl 1284.91206 Insur. Math. Econ. 51, No. 2, 292-302 (2012). MSC: 91B30 PDF BibTeX XML Cite \textit{F. Belzunce} et al., Insur. Math. Econ. 51, No. 2, 292--302 (2012; Zbl 1284.91206) Full Text: DOI OpenURL
Peng, Liang; Qi, Yongcheng; Wang, Ruodu; Yang, Jingping Jackknife empirical likelihood method for some risk measures and related quantities. (English) Zbl 1284.62205 Insur. Math. Econ. 51, No. 1, 142-150 (2012). MSC: 62F40 91B30 62F25 62P05 PDF BibTeX XML Cite \textit{L. Peng} et al., Insur. Math. Econ. 51, No. 1, 142--150 (2012; Zbl 1284.62205) Full Text: DOI OpenURL
Genç, Ali İ. Distribution of linear functions from ordered bivariate log-normal distribution. (English) Zbl 1254.62016 Stat. Pap. 53, No. 4, 865-874 (2012). MSC: 62E15 62G30 PDF BibTeX XML Cite \textit{A. İ. Genç}, Stat. Pap. 53, No. 4, 865--874 (2012; Zbl 1254.62016) Full Text: DOI OpenURL
Ahn, Jae Youn; Shyamalkumar, Nariankadu D. Large sample behavior of the CTE and VaR estimators under importance sampling. (English) Zbl 1291.91087 N. Am. Actuar. J. 15, No. 3, 393-416 (2011). MSC: 91B30 62P05 PDF BibTeX XML Cite \textit{J. Y. Ahn} and \textit{N. D. Shyamalkumar}, N. Am. Actuar. J. 15, No. 3, 393--416 (2011; Zbl 1291.91087) Full Text: DOI OpenURL
Brahimi, Brahim; Meraghni, Djamel; Necir, Abdelhakim; Zitikis, Ričardas Estimating the distortion parameter of the proportional-hazard premium for heavy-tailed losses. (English) Zbl 1229.91155 Insur. Math. Econ. 49, No. 3, 325-334 (2011). MSC: 91B30 62P05 PDF BibTeX XML Cite \textit{B. Brahimi} et al., Insur. Math. Econ. 49, No. 3, 325--334 (2011; Zbl 1229.91155) Full Text: DOI OpenURL
Zähle, Henryk Rates of almost sure convergence of plug-in estimates for distortion risk measures. (English) Zbl 1234.62138 Metrika 74, No. 2, 267-285 (2011). MSC: 62P05 62G07 62G20 62G30 91B30 65C60 62N01 PDF BibTeX XML Cite \textit{H. Zähle}, Metrika 74, No. 2, 267--285 (2011; Zbl 1234.62138) Full Text: DOI Link OpenURL
Landsman, Zinoviy; Vanduffel, Steven Bounds for some general sums of random variables. (English) Zbl 1207.62119 Stat. Probab. Lett. 81, No. 3, 382-391 (2011). MSC: 62H10 62E10 65C05 PDF BibTeX XML Cite \textit{Z. Landsman} and \textit{S. Vanduffel}, Stat. Probab. Lett. 81, No. 3, 382--391 (2011; Zbl 1207.62119) Full Text: DOI OpenURL
Russo, Ralph P.; Shyamalkumar, Nariankadu D. Bounds for the bias of the empirical CTE. (English) Zbl 1231.91231 Insur. Math. Econ. 47, No. 3, 352-357 (2010). MSC: 91B30 62P05 PDF BibTeX XML Cite \textit{R. P. Russo} and \textit{N. D. Shyamalkumar}, Insur. Math. Econ. 47, No. 3, 352--357 (2010; Zbl 1231.91231) Full Text: DOI OpenURL
Kim, Joseph H. T. Bias correction for estimated distortion risk measure using the bootstrap. (English) Zbl 1231.62187 Insur. Math. Econ. 47, No. 2, 198-205 (2010). MSC: 62P05 91G10 62F40 65C60 PDF BibTeX XML Cite \textit{J. H. T. Kim}, Insur. Math. Econ. 47, No. 2, 198--205 (2010; Zbl 1231.62187) Full Text: DOI OpenURL
Pflug, Georg; Wozabal, Nancy Asymptotic distribution of law-invariant risk functionals. (English) Zbl 1226.91070 Finance Stoch. 14, No. 3, 397-418 (2010). MSC: 91G10 91B30 PDF BibTeX XML Cite \textit{G. Pflug} and \textit{N. Wozabal}, Finance Stoch. 14, No. 3, 397--418 (2010; Zbl 1226.91070) Full Text: DOI OpenURL
Ahn, Jae Youn; Shyamalkumar, Nariankadu D. An asymptotic analysis of the bootstrap bias correction for the empirical CTE. (English) Zbl 1219.62071 N. Am. Actuar. J. 14, No. 2, 217-234 (2010). MSC: 62G09 62G07 60F05 62G20 65C60 PDF BibTeX XML Cite \textit{J. Y. Ahn} and \textit{N. D. Shyamalkumar}, N. Am. Actuar. J. 14, No. 2, 217--234 (2010; Zbl 1219.62071) Full Text: DOI OpenURL
Necir, Abdelhakim; Meraghni, Djamel Estimating L-functionals for heavy-tailed distributions and application. (English) Zbl 1200.62050 J. Probab. Stat. 2010, Article ID 707146, 34 p. (2010). MSC: 62G30 62G32 62G20 62P05 PDF BibTeX XML Cite \textit{A. Necir} and \textit{D. Meraghni}, J. Probab. Stat. 2010, Article ID 707146, 34 p. (2010; Zbl 1200.62050) Full Text: DOI EuDML OpenURL
Shaked, Moshe; Sordo, Miguel A.; Suárez-Llorens, Alfonso A class of location-independent variability orders, with applications. (English) Zbl 1213.62164 J. Appl. Probab. 47, No. 2, 407-425 (2010). Reviewer: Jaroslaw Bartoszewicz (Wrocław) MSC: 62N05 60E15 62P20 91B30 PDF BibTeX XML Cite \textit{M. Shaked} et al., J. Appl. Probab. 47, No. 2, 407--425 (2010; Zbl 1213.62164) Full Text: DOI OpenURL
Furman, Edward; Zitikis, Ričardas Weighted pricing functionals with applications to insurance. (English) Zbl 1483.91194 N. Am. Actuar. J. 13, No. 4, 483-496 (2009). MSC: 91G05 PDF BibTeX XML Cite \textit{E. Furman} and \textit{R. Zitikis}, N. Am. Actuar. J. 13, No. 4, 483--496 (2009; Zbl 1483.91194) Full Text: DOI OpenURL
Necir, Abdelhakim; Meraghni, Djamel Empirical estimation of the proportional hazard premium for heavy-tailed claim amounts. (English) Zbl 1231.91221 Insur. Math. Econ. 45, No. 1, 49-58 (2009). MSC: 91B30 62P05 62N02 PDF BibTeX XML Cite \textit{A. Necir} and \textit{D. Meraghni}, Insur. Math. Econ. 45, No. 1, 49--58 (2009; Zbl 1231.91221) Full Text: DOI OpenURL
Wozabal, Nancy Uniform limit theorems for functions of order statistics. (English) Zbl 1183.62024 Stat. Probab. Lett. 79, No. 12, 1450-1455 (2009). MSC: 62E20 62G30 60F15 62G20 PDF BibTeX XML Cite \textit{N. Wozabal}, Stat. Probab. Lett. 79, No. 12, 1450--1455 (2009; Zbl 1183.62024) Full Text: DOI OpenURL
Furman, Edward; Zitikis, Ričardas Weighted premium calculation principles. (English) Zbl 1141.91509 Insur. Math. Econ. 42, No. 1, 459-465 (2008). MSC: 91B30 PDF BibTeX XML Cite \textit{E. Furman} and \textit{R. Zitikis}, Insur. Math. Econ. 42, No. 1, 459--465 (2008; Zbl 1141.91509) Full Text: DOI OpenURL
Sordo, Miguel A. Characterizations of classes of risk measures by dispersive orders. (English) Zbl 1141.91548 Insur. Math. Econ. 42, No. 3, 1028-1034 (2008). MSC: 91B30 PDF BibTeX XML Cite \textit{M. A. Sordo}, Insur. Math. Econ. 42, No. 3, 1028--1034 (2008; Zbl 1141.91548) Full Text: DOI Link OpenURL
Nikoloulopoulos, Aristidis K.; Karlis, Dimitris On modeling count data: a comparison of some well-known discrete distributions. (English) Zbl 1136.62017 J. Stat. Comput. Simulation 78, No. 3, 437-457 (2008). MSC: 62E15 PDF BibTeX XML Cite \textit{A. K. Nikoloulopoulos} and \textit{D. Karlis}, J. Stat. Comput. Simulation 78, No. 3, 437--457 (2008; Zbl 1136.62017) Full Text: DOI OpenURL
Brazauskas, Vytaras; Jones, Bruce L.; Puri, Madan L.; Zitikis, Ričardas Nested \(L\)-statistics and their use in comparing the riskness of portfolios. (English) Zbl 1150.91025 Scand. Actuar. J. 2007, No. 3, 162-179 (2007). Reviewer: Aleksandr D. Borisenko (Kyïv) MSC: 91B30 PDF BibTeX XML Cite \textit{V. Brazauskas} et al., Scand. Actuar. J. 2007, No. 3, 162--179 (2007; Zbl 1150.91025) Full Text: DOI OpenURL
Jones, Bruce L.; Zitikis, Ričardas Risk measures, distortion parameters, and their empirical estimation. (English) Zbl 1193.91065 Insur. Math. Econ. 41, No. 2, 279-297 (2007). MSC: 91B30 62N02 62P05 PDF BibTeX XML Cite \textit{B. L. Jones} and \textit{R. Zitikis}, Insur. Math. Econ. 41, No. 2, 279--297 (2007; Zbl 1193.91065) Full Text: DOI OpenURL
Kaiser, Thomas; Brazauskas, Vytaras Interval estimation of actuarial risk measures. (English) Zbl 1480.91214 N. Am. Actuar. J. 10, No. 4, 249-268 (2006). MSC: 91G05 62P05 PDF BibTeX XML Cite \textit{T. Kaiser} and \textit{V. Brazauskas}, N. Am. Actuar. J. 10, No. 4, 249--268 (2006; Zbl 1480.91214) Full Text: DOI OpenURL
Wu, Xianyi; Zhou, Xian A new characterization of distortion premiums via countable additivity for comonotonic risks. (English) Zbl 1132.91019 Insur. Math. Econ. 38, No. 2, 324-334 (2006). MSC: 91B30 PDF BibTeX XML Cite \textit{X. Wu} and \textit{X. Zhou}, Insur. Math. Econ. 38, No. 2, 324--334 (2006; Zbl 1132.91019) Full Text: DOI OpenURL
Jones, Bruce L.; Puri, Madan L.; Zitikis, Ričardas Testing hypotheses about the equality of several risk measure values with applications in insurance. (English) Zbl 1088.62126 Insur. Math. Econ. 38, No. 2, 253-270 (2006). MSC: 62P05 62E20 62G10 62F30 91B30 PDF BibTeX XML Cite \textit{B. L. Jones} et al., Insur. Math. Econ. 38, No. 2, 253--270 (2006; Zbl 1088.62126) Full Text: DOI OpenURL
Manistre, B. John; Hancock, Geoffrey H. Variance of the CTE estimator. (English) Zbl 1085.62511 N. Am. Actuar. J. 9, No. 2, 129-156 (2005). MSC: 62P05 PDF BibTeX XML Cite \textit{B. J. Manistre} and \textit{G. H. Hancock}, N. Am. Actuar. J. 9, No. 2, 129--156 (2005; Zbl 1085.62511) Full Text: DOI OpenURL
Frangos, Nikolaos; Karlis, Dimitris Modelling losses using an exponential-inverse Gaussian distribution. (English) Zbl 1054.62127 Insur. Math. Econ. 35, No. 1, 53-67 (2004). MSC: 62P05 62F10 62F15 PDF BibTeX XML Cite \textit{N. Frangos} and \textit{D. Karlis}, Insur. Math. Econ. 35, No. 1, 53--67 (2004; Zbl 1054.62127) Full Text: DOI Link OpenURL