Nonparametric inference for distortion risk measures on tail regions
Year of publication: |
2019
|
---|---|
Authors: | Hou, Yanxi ; Wang, Xing |
Published in: |
Insurance / Mathematics & economics. - Amsterdam : Elsevier, ISSN 0167-6687, ZDB-ID 8864-X. - Vol. 89.2019, p. 92-110
|
Subject: | Copula | Distortion risk measure | Extreme Value Theory | Nonparametric method | Tail risk analysis | Risikomaß | Risk measure | Nichtparametrisches Verfahren | Nonparametric statistics | Messung | Measurement | Ausreißer | Outliers | Multivariate Verteilung | Multivariate distribution | Risikomanagement | Risk management | Statistische Verteilung | Statistical distribution | Risiko | Risk | Induktive Statistik | Statistical inference | Schätztheorie | Estimation theory |
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