کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
5076566 | 1477220 | 2014 | 13 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Asymptotic theory for the empirical Haezendonck-Goovaerts risk measure
ترجمه فارسی عنوان
تئوری همبستگی برای سنجش ریسک تجربی هزندونک-گوراتور
دانلود مقاله + سفارش ترجمه
دانلود مقاله ISI انگلیسی
رایگان برای ایرانیان
کلمات کلیدی
موضوعات مرتبط
مهندسی و علوم پایه
ریاضیات
آمار و احتمال
چکیده انگلیسی
Haezendonck-Goovaerts risk measures is a recently introduced class of risk measures which includes, as its minimal member, the Tail Value-at-Risk (T-VaR)-T-VaR arguably the most popular risk measure in global insurance regulation. In applications often one has to estimate the risk measure given a random sample from an unknown distribution. The distribution could either be truly unknown or could be the distribution of a complex function of economic and idiosyncratic variables with the complexity of the function rendering indeterminable its distribution. Hence statistical procedures for the estimation of Haezendonck-Goovaerts risk measures are a key requirement for their use in practice. A natural estimator of the Haezendonck-Goovaerts risk measure is the Haezendonck-Goovaerts risk measure of the empirical distribution, but its statistical properties have not yet been explored in detail. The main goal of this article is to both establish the strong consistency of this estimator and to derive weak convergence limits for this estimator. We also conduct a simulation study to lend insight into the sample sizes required for these asymptotic limits to take hold.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Insurance: Mathematics and Economics - Volume 55, March 2014, Pages 78-90
Journal: Insurance: Mathematics and Economics - Volume 55, March 2014, Pages 78-90
نویسندگان
Jae Youn Ahn, Nariankadu D. Shyamalkumar,