Nonparametric inference for distortion risk measures on tail regions
Yanxi Hou, Xing Wang
| 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 | Ausreißer | Outliers | Statistische Verteilung | Statistical distribution | Messung | Measurement | Risiko | Risk | Schätztheorie | Estimation theory | Multivariate Verteilung | Multivariate distribution | Risikomanagement | Risk management | Induktive Statistik | Statistical inference | Portfolio-Management | Portfolio selection |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.insmatheco.2019.09.003 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012133516