Empirical Estimation of Risk Measures and Related Quantities
نویسندگان
چکیده
The authors present an alternative representation of risk measures originally defined in terms of expectations with respect to distorted probabilities. They also show that the right-tail, left-tail, and two-sided deviations/indices suggested by Wang (1998) can be represented in this alternative form. Empirical estimators for these quantities are proposed and their properties explored.
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تاریخ انتشار 2003