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Asymptotic theory for the empirical Haezendonck-Goovaerts risk measure

Title: Asymptotic theory for the empirical Haezendonck-Goovaerts risk measure

Authors: Ahn J.Y.; Shyamalkumar N.D.

Ewha Authors: 안재윤

SCOPUS Author ID: 안재윤

Issue Date: 2014

Journal Title: Insurance: Mathematics and Economics

ISSN: 0167-6687

Citation: Insurance: Mathematics and Economics vol. 55, no. 1, pp. 78 - 90

Indexed: SCIE; SSCI; SCOPUS

Document Type: Article

Abstract: Conditional tail expectation (CTE); Empirical CTE; Orlicz premium; Tail value-at-Risk (T-VaR)

DOI: 10.1016/j.insmatheco.2013.12.003

Appears in Collections:: 자연과학대학 > 통계학전공 > Journal papers

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