Nonparametric Inference for VaR, CTE, and Expectile with High-Order Precision

Article Properties

Language

English
DOI (url)

10.1080/10920277.2019.1566075
Publication Date

2019/05/09
Journal

North American Actuarial Journal
Indian UGC (journal)
Refrences

35
Citations

1
Zhiyi Shen Department of Statistics and Actuarial Science, University of Waterloo, Waterloo, Ontario, Canada
Yukun Liu Key Laboratory of Advanced Theory and Application in Statistics and Data Science — MOE School of Statistics, East China Normal University, Shanghai, China
Chengguo Weng Key Laboratory of Advanced Theory and Application in Statistics and Data Science — MOE School of Statistics, East China Normal University, Shanghai, China

Cite

Shen, Zhiyi, et al. “Nonparametric Inference for VaR, CTE, and Expectile With High-Order Precision”. North American Actuarial Journal, vol. 23, no. 3, 2019, pp. 364-85, https://doi.org/10.1080/10920277.2019.1566075.

Shen, Z., Liu, Y., & Weng, C. (2019). Nonparametric Inference for VaR, CTE, and Expectile with High-Order Precision. North American Actuarial Journal, 23(3), 364-385. https://doi.org/10.1080/10920277.2019.1566075

Shen Z, Liu Y, Weng C. Nonparametric Inference for VaR, CTE, and Expectile with High-Order Precision. North American Actuarial Journal. 2019;23(3):364-85.

Journal Category

Social Sciences

Finance

Refrences

Title	Journal	Journal Categories	Citations	Publication Date
Title				2002
Emplik: Empirical Likelihood Ratio for Censored/Truncated Data. R package version 1.0-3				2016
COHERENCE AND ELICITABILITY	Mathematical Finance	Social Sciences: Finance Social Sciences: Economic theory. Demography: Economics as a science Social Sciences: Statistics Science: Mathematics Social Sciences: Commerce: Business Social Sciences: Economic theory. Demography: Economics as a science	223	2014
Nonparametric inference for sensitivity of Haezendonck–Goovaerts risk measure	Scandinavian Actuarial Journal	Science: Mathematics Science: Mathematics: Probabilities. Mathematical statistics Social Sciences: Statistics Social Sciences: Sociology (General) Social Sciences: Commerce: Business Social Sciences: Economic theory. Demography: Economics as a science	6	2018
Inference for intermediate Haezendonck–Goovaerts risk measure	Insurance: Mathematics and Economics	Science: Mathematics Science: Mathematics: Probabilities. Mathematical statistics Social Sciences: Economic theory. Demography: Economics as a science Social Sciences: Statistics Social Sciences: Commerce: Business Social Sciences: Economic theory. Demography: Economics as a science	9	2016

Citations

Title	Journal	Journal Categories	Citations	Publication Date
Estimating Copula-Based Extension of Tail Value-at-Risk and Its Application in Insurance Claim	Risks	Social Sciences: Finance: Insurance Social Sciences: Finance	3	2022

Citations Analysis

Category	Category Repetition
Social Sciences: Finance: Insurance	1
Social Sciences: Finance	1

The category Social Sciences: Finance: Insurance 1 is the most commonly referenced area in studies that cite this article.