کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
5076349 | 1477207 | 2016 | 25 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Inference for intermediate Haezendonck-Goovaerts risk measure
ترجمه فارسی عنوان
استنتاج برای اندازه گیری ریسک هزن اندک-گوراتور متوسط
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کلمات کلیدی
موضوعات مرتبط
مهندسی و علوم پایه
ریاضیات
آمار و احتمال
چکیده انگلیسی
Recently Haezendonck-Goovaerts (H-G) risk measure has received much attention in actuarial science. Nonparametric inference has been studied by Ahn and Shyamalkumar (2014) and Peng et al. (2015) when the risk measure is defined at a fixed level. In risk management, the level is usually set to be quite near one by regulators. Therefore, especially when the sample size is not large enough, it is useful to treat the level as a function of the sample size, which diverges to one as the sample size goes to infinity. In this paper, we extend the results in Peng et al. (2015) from a fixed level to an intermediate level. Although the proposed maximum empirical likelihood estimator for the H-G risk measure has a different limit for a fixed level and an intermediate level, the proposed empirical likelihood method indeed gives a unified interval estimation for both cases. A simulation study is conducted to examine the finite sample performance of the proposed method.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Insurance: Mathematics and Economics - Volume 68, May 2016, Pages 231-240
Journal: Insurance: Mathematics and Economics - Volume 68, May 2016, Pages 231-240
نویسندگان
Xing Wang, Liang Peng,