Evidence Tests for the Family of Risk Measures

AuthorsFatemeh Yousefzadeh
Conference Titleشانزدهمین کنفرانس آمار ایران
Holding Date of Conference2022-08-24
Event Placeبابلسر
Page number0-0
PresentationSPEECH
Conference LevelInternal Conferences

Abstract

In actuarial applications, we often work with risk measures for insurance products. In this paper, some criteria based on statistical evidence are proposed to test a family of risk measures. Also, a simulation is presented to illustrate the results.

Paper URL

tags: Evidence test; Empirical likelihood; Jackknife; Risk measure.